{"id":"W2811188583","doi":"10.1017/s1748499518000179","title":"Assessing basis risk in index-based longevity swap transactions","year":2018,"lang":"en","type":"article","venue":"Annals of Actuarial Science","topic":"Insurance, Mortality, Demography, Risk Management","field":"Social Sciences","cited_by":23,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"","keywords":"Swap (finance); Longevity risk; Hedge; Portfolio; Econometrics; Basis risk; Index (typography); Longevity; Futures contract; Interest rate swap; Actuarial science; Range (aeronautics); Computer science; Statistics; Economics; Mathematics; Pension; Finance; Engineering; Medicine","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["sts"],"consensus_categories":[],"category_scores_codex":[0.006885343,0.0001433499,0.0002404929,0.0005394906,0.001288069,0.0003260314,0.000868734,0.0001031431,0.0002996155],"category_scores_gemma":[0.0007371127,0.0001426563,0.0001405016,0.003106412,0.003937085,0.001698924,0.00003447598,0.0002084217,0.00002051241],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007441039,"about_ca_system_score_gemma":0.0007011156,"about_ca_topic_candidate":true,"about_ca_topic_consensus":true,"about_ca_topic_score_codex":0.02630324,"about_ca_topic_score_gemma":0.02504349,"domain_scores_codex":[0.9967873,0.0003605089,0.0003968191,0.0004832799,0.001276127,0.0006959797],"domain_scores_gemma":[0.9984529,0.0002043829,0.0002906829,0.0003930624,0.0004727831,0.0001862023],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0001922266,0.001063148,0.6798639,0.00004168164,0.00005444737,0.00001144127,0.01533145,0.001189819,0.001125561,0.007701628,0.000592346,0.2928323],"study_design_scores_gemma":[0.0004033893,0.0001130783,0.9819511,0.00005606197,0.00002195651,1.178959e-7,0.001792195,0.001143813,0.006031666,0.003465219,0.00474395,0.0002774197],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9592853,0.00002381852,0.01200715,0.001573618,0.0010517,0.0003496903,0.00001199603,0.00005940599,0.02563731],"genre_scores_gemma":[0.9984242,0.0000952265,0.0008461908,0.0003398564,0.0002467025,0.00001116835,5.354382e-7,0.00000719198,0.00002887316],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.3020872,"threshold_uncertainty_score":0.9987736,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.08217005474706969,"score_gpt":0.4124759566329121,"score_spread":0.3303059018858424,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}