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Natural hedging strategies for life insurers : impact of product design and risk measure
Recurso electrónico / Electronic resource
MARC record
Tag12Value
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001  MAP20170008712
003  MAP
005  20170405151623.0
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040  ‎$a‎​MAP‎$b‎​spa‎$d‎​MAP
084  ‎$a‎​341
100  ‎$0‎​MAPA20170003465‎$a‎​Wong, Andy ‌
24510‎$a‎​Natural hedging strategies for life insurers‎$b‎​: impact of product design and risk measure‎$c‎​Andy Wong, Michael Sherris, Rafph Stevens
520  ‎$a‎​Natural hedging allows life insurers to manage long-term longevity and investment risks of life annuity products through offsetting risks in life insurance products. Benefits include a reduction in risk-based capital. We use stochastic mortality and interest rate models to assess life insurance and annuity capital requirements and to quantify the benefits of natural hedging for a range of different types of life insurance product designs and risk measures based on probability of insurer solvency.We show that level-premium life insurance products with a medium duration (around 2030 years) can better hedge annuity products than whole life products. Renewable term life insurance products have less hedge effectiveness than level-premium term insurance. Results vary with the risk measure used, with the 1- year horizon Solvency II risk measure showing lower natural hedging benefits of life insurance compared to multiple-period risk measures.
650 4‎$0‎​MAPA20080570590‎$a‎​Seguro de vida ‌
650 4‎$0‎​MAPA20080555016‎$a‎​Longevidad ‌
650 4‎$0‎​MAPA20080552701‎$a‎​Solvencia ‌
7001 ‎$0‎​MAPA20080179083‎$a‎​Sherris, Michael ‌
7001 ‎$0‎​MAPA20170003991‎$a‎​Stevens, Rafph ‌
7730 ‎$w‎​MAP20077000727‎$t‎​The Journal of risk and insurance‎$d‎​Nueva York : The American Risk and Insurance Association, 1964-‎$x‎​0022-4367‎$g‎​01/03/2017 Volumen 84 Número 1 - marzo 2017 , p. 153-175