Centro de Documentacion de Fundación MAPFRE - Time-consistent meanvariance hedging of longevity risk : Effect of cointegration

MAP20140023783

Time-consistent meanvariance hedging of longevity risk : Effect of cointegration / Tat Wing Wong, Mei Choi Chiu, Hoi Ying Wong

Sumario: This paper investigates the time-consistent dynamic meanvariance hedging of longevity risk with a longevity security contingent on a mortality index or the national mortality. Using an HJB framework, we solve the hedging problem in which insurance liabilities follow a doubly stochastic Poisson process with an intensity rate that is correlated and cointegrated to the index mortality rate. The derived closed-form optimal hedging policy articulates the important role of cointegration in longevity hedging. We show numerically that a time-consistent hedging policy is a smoother function in time when compared with its time-inconsistent counterpart.

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 56-67

1. Matemática del seguro . 2. Modelo estocástico . 3. Gerencia de riesgos . 4. Longevidad . 5. Mortalidad . 6. Cointegración . 7. Casos prácticos . 8. Cálculo actuarial . I. Choi Chiu, Mei . II. Ying Wong, Hoi . III. Title.