This talk will outline the structure of deals to date in the Dutch market, the challenges in determining the Solvency 2 capital treatment and the work done by the Longevity Risk Transfer Working Party of the Dutch Insurance Association, a proposal for a method for quantification of Basis Risk based on a recent paper “Basis Risk in Index Based Longevity Hedges: A Guide for Longevity Hedgers” by Cairns & El Boukfaoui, and implications for the future both in terms of the UK market and further academic research.
Alan Rae (Longitude Solutions) and Professor Andrew Cairns (Heriot Watt University)
Prudential, Craigforth, FK9 4UE
Nearest Public Transport
Stirling Railway Station
Bus route 59
Register by emailing Jane.Hamilton@Prudential.co.uk