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

Notes: 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.

Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 56-67Materia / lugar / evento: Matemática del seguro Modelo estocástico Gerencia de riesgos Longevidad Mortalidad Cointegración Casos prácticos Cálculo actuarial Otros autores: Choi Chiu, Mei
Ying Wong, Hoi
Other categories: 6

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