Monday 12 November 2018 17:00 - 18:00
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.