文章基本信息

标题：Hedging Longevity Risk using Longevity Swaps: A Case Study of the Social Security and National Insurance Trust (SSNIT), Ghana
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作者：A. Y. Omari-Sasu ; A. Y. Omari-Sasu ; D. Asamoah Owusu 等
期刊名称：International Journal of Finance and Accounting
印刷版ISSN：2168-4812
电子版ISSN：2168-4820
出版年度：2016
卷号：5
期号：4
页码：165-170
DOI：10.5923/j.ijfa.20160504.01
语种：English
出版社：Scientific & Academic Publishing Co.
摘要：Eﬀective management of longevity risk is essential for every institution which is exposed to longevity risk. Deﬁned beneﬁt schemes in Ghana are especially exposed to longevity risk due to increasing life expectancy in Ghana. In this study we explore a hypothetical hedging strategy based on longevity swaps for the SSNIT pension scheme. We use the Cairns-Blake-Dowd model to forecast future mortality rates of pensioners from age 71 to 90. With the forecasted mortality rates, longevity swap contract was designed whereby realized mortality rates would be swapped with the forecasted expected mortality rates. The payout structure under the swap ensured that the SSNIT’s liability was completely hedged against longevity risk.
关键词：Longevity swaps; Risk; Mortality; Life expectancy