Natural hedging strategies for life insurers : impact of product design and risk measure

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<dc:creator>Wong, Andy</dc:creator>
<dc:creator>Sherris, Michael</dc:creator>
<dc:creator>Stevens, Rafph</dc:creator>
<dc:date>2017-03-01</dc:date>
<dc:description xml:lang="es">Sumario: 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. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/159600.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Solvencia</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Natural hedging strategies for life insurers : impact of product design and risk measure</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2017 Volumen 84 Número 1 - marzo 2017 , p. 153-175</dc:relation>
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