Hedging Longevity and Mortality Risks

Student: Dzhennet Babaeva

Supervisor:

Faculty: International College of Economics and Finance

Educational Programme: International Programme in Economics and Finance (Bachelor)

Year of Graduation: 2024

In this research study, an analysis was conducted to find the best solution for hedging mortality and longevity risks in the Russian market. As a result, the best solution identified was a capital market forward, based on the methodology of the foreign q-forward, but utilizing an index developed from Russian data to calculate longevity rates. The index developed in this study explains the factors influencing longevity rates. The study describes the mechanism of the new forward, the price of which is calculated based on the developed index. Ultimately, the forward designed for the Russian capital market enables effective hedging of both risks: longevity risk for pension funds and mortality risk for insurance companies.

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