Basis risk no barrier to longevity securitisation say experts
Academics and JP Morgan team show how to mitigate exposure from differences between population mortality rates
The basis risk in the different life expectancies between insured and general populations is manageable and not a barrier to the development of the longevity derisking market, according to research by JP Morgan and a group of senior academics.
So far, the longevity derisking market has been stymied by the conflicting interests of cedents, which want bespoke hedges, and the desire by investors for standardised indexes before a liquid market can develop. However, this latest research paper argues
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