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

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      <subfield code="a">Wong, Andy</subfield>
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      <subfield code="a">Natural hedging strategies for life insurers</subfield>
      <subfield code="b">: impact of product design and risk measure</subfield>
      <subfield code="c">Andy Wong, Michael Sherris, Rafph Stevens</subfield>
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      <subfield code="a">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. </subfield>
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      <subfield code="a">Seguro de vida</subfield>
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      <subfield code="a">Longevidad</subfield>
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      <subfield code="a">Solvencia</subfield>
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      <subfield code="a">Sherris, Michael</subfield>
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      <subfield code="a">Stevens, Rafph</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/03/2017 Volumen 84 Número 1 - marzo 2017 , p. 153-175</subfield>
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