Natural hedging strategies for life insurers : impact of product design and risk measure
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170008712 | ||
| 003 | MAP | ||
| 005 | 20170405151623.0 | ||
| 008 | 170314e20170301esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a341 | ||
| 100 | $0MAPA20170003465$aWong, Andy | ||
| 245 | 1 | 0 | $aNatural hedging strategies for life insurers$b: impact of product design and risk measure$cAndy Wong, Michael Sherris, Rafph Stevens |
| 520 | $aNatural 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. | ||
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080552701$aSolvencia | |
| 700 | 1 | $0MAPA20080179083$aSherris, Michael | |
| 700 | 1 | $0MAPA20170003991$aStevens, Rafph | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g01/03/2017 Volumen 84 Número 1 - marzo 2017 , p. 153-175 |