Modelling and management of longevity risk : approximations to survivor functions and dynamics hedging

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      <subfield code="a">Cairns, A.J.G</subfield>
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      <subfield code="a">Modelling and management of longevity risk</subfield>
      <subfield code="b">: approximations to survivor functions and dynamics hedging</subfield>
      <subfield code="c">A.J.G. Cairns</subfield>
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      <subfield code="a">This paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulate for the valuation of mortality-linked liabilities and assets, and the consequent requirement for simulations within simulations. We propase the use of the probit function along with a Taylor expansion to approximate longevity-contingent values. This makes it possible to develop and Implement computationally efficient, diserete-time delta hedging strategies using q-forwards as hedging instruments</subfield>
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      <subfield code="a">Matemática del seguro</subfield>
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      <subfield code="a">Pensiones</subfield>
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      <subfield code="a">Análisis actuarial</subfield>
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      <subfield code="a">Solvencia II</subfield>
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      <subfield code="a">Longevidad</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
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      <subfield code="g">01/11/2011 Tomo 49 Número 3  - 2011 , p. 438-453</subfield>
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