Key q-duration : a framework for hedging longevity risk

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      <subfield code="a">Key q-duration</subfield>
      <subfield code="b">: a framework for hedging longevity risk</subfield>
      <subfield code="c">Johnny Siu-Hang Li, Ancheng Luo</subfield>
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      <subfield code="a">When hedging longevity risk with standardized contracts, the hedger needs to calibrate the hedge carefully so that it can effectively reduce the risk. In this article, we present a calibration method that is based on matching mortality rate sensitivities. Specifically, we introduce a measure called key q-duration, which allows us to estimate the price sensitivity of a life-contingent liability to each portion of the underlying mortality curve. Given this measure, one can easily construct a longevity hedge with a small number of q-forward contracts. We further propose an extension for hedging the longevity risk associated with multiple birth cohorts, and another extension for accommodating population basis risk.</subfield>
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      <subfield code="g">05/11/2012 Volumen 42 Número 2  - noviembre 2012 </subfield>
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