Feasibility assessment of longevity swap for the Korean life annuity market

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age dependent drift and volatility is developed and analytical formulae for prices of longevity derivatives are derived. The model is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the size of the underlying annuity portfolio. The results compare the risk management benefits and costs of longevity derivatives with linear and nonlinear payoff structures.

Download Full-text

Heterogeneity of Australian population mortality and implications for a viable life annuity market

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2012.05.006 ◽

2012 ◽

Vol 51 (2) ◽

pp. 322-332 ◽

Cited By ~ 20

Author(s):

Shu Su ◽

Michael Sherris

Keyword(s):

Australian Population ◽

Life Annuity ◽

Annuity Market ◽

Population Mortality

Download Full-text

Feasibility Assessment of Chemical Testing for Drug Impairment: Final Summary Report, September 1985

PsycEXTRA Dataset ◽

10.1037/e730552011-001 ◽

1985 ◽

Cited By ~ 1

Author(s):

Robert E. Willette

Keyword(s):

Summary Report ◽

Feasibility Assessment ◽

Drug Impairment ◽

Chemical Testing

Download Full-text

Optic nerve sheath diameter (ONSD) in sovratentorial brain tumor surgery: an option for non invasive raised ICP detection and management. Preliminary results and feasibility assessment

10.26226/morressier.58f5b031ab9a5f002a4cadae ◽

2017 ◽

Author(s):

Raffaele Aspide

Keyword(s):

Brain Tumor ◽

Optic Nerve ◽

Optic Nerve Sheath Diameter ◽

Optic Nerve Sheath ◽

Tumor Surgery ◽

Brain Tumor Surgery ◽

Preliminary Results ◽

Feasibility Assessment ◽

Non Invasive ◽

Nerve Sheath

Download Full-text

Development of SETS E-Module Integrated with POE Model for Science Learning

Journal of Educational Science and Technology (EST) ◽

10.26858/est.v1i1.14735 ◽

2020 ◽

Vol 1 (1) ◽

Author(s):

Insih Wilujeng ◽

Tri Suci Yolanda Putri

Keyword(s):

Junior High School ◽

Science Learning ◽

Design Development ◽

Feasibility Assessment ◽

Teachers And Students ◽

Assessment Sheet ◽

The Subject ◽

Analysis Design ◽

Addie Model ◽

Readability Assessment

This research developed Science, Environment, Technology, Society (SETS) e-module integrated with predict, observe, explain (POE) model on the subject matter of Earth Layer and Its Dynamics for grade VII students. This study aimed to reveal i) the feasibility of the developed e-module for grade VII students, and ii) the practicality of the developed e-module and its dynamics. This is a developmental research adopting the ADDIE model consisting of five stages, i.e.: analysis, design, development, implementation, and evaluation. The subject of the limited test consisted of 15 students of grade VIII.G of Public Junior High School 8 Yogyakarta. The data were collected using a product feasibility assessment sheet for material and media experts, a product practicality assessment sheet for teachers, and a product readability assessment sheet for students. The results show that the developed e-module was feasible to be used according to the material and media experts and the developed e-module is practical according to teachers and students.

Download Full-text