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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/9140

Title: Hedging Longevity Risk using Longevity Swaps: A case study of the Social Security and National Insurance Trust (SSNIT)
Authors: Tettey, Isaac
Issue Date: 6-Oct-2016
Abstract: E ective management of longevity risk is essential for every institution which is exposed to longevity risk. De ned bene t 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 we designed longevity swap contract whereby realized mortality rates would be swapped with the forecasted expected mortality rates. The payout structure under the swap ensures that the SSNIT's liability is completely hedged against longevity risk.
Description: A thesis submitted to the Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fulfillment of the requirement for the degree of MSc. Actuarial Science , 2016.
URI: http://hdl.handle.net/123456789/9140
Appears in Collections:College of Science

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