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Dynamic hedging of longevity risk : the effect of trading frequency

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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001  MAP20180005701
003  MAP
005  20180313090223.0
008  180226e20180101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20170005766‎$a‎Li, Hong
24510‎$a‎Dynamic hedging of longevity risk‎$b‎: the effect of trading frequency‎$c‎Hong Li
520  ‎$a‎This paper investigates dynamic hedging strategies for pension and annuity liabilities that are exposed to longevity risk. In particular, we consider a hedger who wishes to minimize the variance of her hedging error using index-based longevity-linked derivatives. To cope with the fact that liquidity of longevitylinked derivatives is still limited, we consider a liquidity constrained case where the hedger can only trade longevity-linked derivatives at a frequency lower than other assets. Time-consistent, closed-form solutions of optimal hedging strategies are obtained under a forward mortality framework. In the numerical illustration, we show that lowering the trading of the longevity-linked derivatives to a 2-year frequency only leads to a slight loss of the hedging performance. Moreover, even when the longevity-linked derivatives are traded at a very low (5-year) frequency, dynamic hedging strategies still significantly outperform the static one.
650 4‎$0‎MAPA20080552114‎$a‎Pensiones
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20080601522‎$a‎Evaluación de riesgos
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080604394‎$a‎Valoración de riesgos
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 197-232