Centro de Documentacion de Fundación MAPFRE - Natural hedging strategies for life insurers : impact of product design and risk measure

MAP20170008712

Natural hedging strategies for life insurers : impact of product design and risk measure / Andy Wong, Michael Sherris, Rafph Stevens

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.

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

1. Seguro de vida . 2. Longevidad . 3. Solvencia . I. Sherris, Michael . II. Stevens, Rafph . III. Título.