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Time-consistent meanvariance hedging of longevity risk : Effect of cointegration

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20140011308‎$a‎Wing Wong, Tat
24510‎$a‎Time-consistent meanvariance hedging of longevity risk‎$b‎: Effect of cointegration‎$c‎Tat Wing Wong, Mei Choi Chiu, Hoi Ying Wong
520  ‎$a‎This 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.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20140013043‎$a‎Cointegración
650 4‎$0‎MAPA20080571566‎$a‎Casos prácticos
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20130000848‎$a‎Choi Chiu, Mei
700  ‎$0‎MAPA20090029910‎$a‎Ying Wong, Hoi
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 56-67