Hedging mortality-longevity risks for multiple years
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200011613 | ||
| 003 | MAP | ||
| 005 | 20200413180442.0 | ||
| 008 | 200408e20200302usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a341 | ||
| 100 | 1 | $0MAPA20140024919$aLin, Tzuling | |
| 245 | 1 | 0 | $aHedging mortality-longevity risks for multiple years$cTzuling Lin, Cary Chi-Liang Tsai |
| 520 | $aIn this article, we develop strategies of hedging multiyear mortality (longevity) risk for a life insurer (an annuity provider) through purchasing some mortality-linked securities from a financial intermediary. Under the multiyear hedges for a life insurers (an annuity provider) involving two uncertain factors-the mortality rate and the number of life insureds (annuity recipients)- we derive closed-form formulas for the optimal units of purchasing underlying mortality-linked securities. Numerical illustrations show that the downside risk of loss because of mortality (longevity) risk for the life insurer (annuity provider) can be significantly hedged by purchasing the optimal units of mortality-linked securities, and the sample risk can be reduced by increasing the number of life insureds (annuity recipients) at issue. For a financial intermediary, adopting an optimal weight of a portfolio of life and annuity business can reduce extreme losses from the longevity risk but could slightly increase losses from the mortality risk, and the sample risk cannot necessarily be eliminated by increasing the number of life insureds/annuity recipients at issue. | ||
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080573614$aRenta vitalicia | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080553241$aAsegurados | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | $0MAPA20200021438$aAgeingnomics. Economia senior | ||
| 700 | $0MAPA20080660314$aTsai, Cary Chi-Liang | ||
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g02/03/2020 Tomo 24 Número 1 - 2020 , p. 118-140 |