Dear all, the Department of Economics, University Ca' Foscari of Venice, invite you to the seminar:

********************************************** Speaker: Pietro Millossovich (City University London, UK)

********************************************** Where/When: Room E, Dept. of Economics, San Giobe 873/b, Venice December 22/2014, 2.00pm

********************************************** Title: Two Populations Stochastic Mortality Models and Longevity Basis Risk

********************************************** Abstract: Longevity swaps provide an alternative de-risking solution for pension funds and life offices which has been gaining popularity in the recent years. While most swaps contracted so far are bespoke, an efficient market solution would require the hedging instrument to be standardized and based on a publicly available mortality index. In this case, it is crucial for the risk hedger to assess the extent of the basis risk left, which ultimately amounts to the difference between the book and the index mortality experiences. To this end, a two population mortality forecasting model is required. In this presentation, we address the choice of the most appropriate multi population mortality model basis risk assessment, discussing in particular the constraint due to the limited size of many existing pension books.

Apologies for cross posting Kind regards