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Project to develop a method of assessing basis risk for longevity transactions

This call for research closed on 15 April 2013 and the content on this page is for information only

The project is to develop a methodology to quantify the basis risk that arises from using population level mortality indices for managing the longevity risk in pension benefits or annuitant liabilities.

We expect this work to be beneficial to a wide variety of organisations and individuals, including pension schemes and their members as well as insurance companies which write annuity business. These and other institutions which are exposed to, or would like to invest in, longevity risk will gain from a new methodology for quantifying risk related to longevity.

The project will offer a high-profile opportunity to the successful party to apply original research to basis risk and in doing so help enable longevity risk transfer to the capital markets.


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