Managing mortality risk with longevity bonds when mortality rates are cointegrated
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170028826 | ||
| 003 | MAP | ||
| 005 | 20170912153317.0 | ||
| 008 | 170904e20170904usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a7 | ||
| 100 | $0MAPA20170011477$aWingWong, Tat | ||
| 245 | 1 | 0 | $aManaging mortality risk with longevity bonds when mortality rates are cointegrated$cTat Wing Wong, Mei Choi Chiu, Hoi Ying Wong |
| 300 | $a37 p. | ||
| 520 | $aThis article investigates the dynamic mean-variance hedging problem of an insurer using longevity bonds (or longevity swaps). Insurance liabilities are modeled using a doubly stochastic compound Poisson process in which the mortality rate is correlated and cointegrated with the index mortality rate. We solve this dynamic hedging problem using a theory of forward-backward stochastic differential equations. Our theory shows that cointegration materially affects the optimal hedging strategy beyond correlation. The cointegration effect is independent of the risk preference of the insurer. Explicit solutions for the optimal hedging strategy are derived for cointegrated stochastic mortality models with both constant and state-dependent volatilities. | ||
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080613877$aEcuaciones diferenciales | |
| 650 | 4 | $0MAPA20140013043$aCointegración | |
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 700 | 1 | $0MAPA20130000848$aChoi Chiu, Mei | |
| 700 | $0MAPA20090029910$aYing Wong, Hoi | ||
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g04/09/2017 Volumen 84 Número 3 - septiembre 2017 , p. 987-1023 |