Centro de Documentacion de Fundación MAPFRE - Natural hedging in Long-Term Care Insurance

MAP20180005718

Natural hedging in Long-Term Care Insurance / Susanna Levantesi, Massimiliano Menzietti

Sumario: We investigate the application of natural hedging strategies for long-term care (LTC) insurers by diversifying both longevity and disability risks affecting LTC annuities. We propose two approaches to natural hedging: one built on a multivariate duration, the other on the Conditional Value-at-Risk minimization of the unexpected loss. Both the approaches are extended to the LTC insurance using a multiple state framework. In order to represent the future evolution of mortality and disability transition probabilities, we use the stochastic model of Cairns et al. (2009) with cohort effect under parameter uncertainty through a semi-parametric bootstrap procedure.We calculate the optimal level of a product mix and measure the effectiveness provided by the interaction of LTC stand alone, deferred annuity and whole-life insurance. We compare the results obtained by the two approaches and find that a natural hedging strategy for LTC insurers is attainable with a product mix of LTC and annuities, but including low proportion of LTC

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 233-274

1. Seguro de dependencia . 2. Aspectos sociales . 3. Asistencia social . 4. Tercera edad . 5. Asistencia sanitaria . 6. Productos de seguros . 7. Matemática del seguro . I. Menzietti, Massimiliano . II. Título.