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Managing mortality risk with longevity bonds when mortality rates are cointegrated

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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008  170904e20170904usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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100  ‎$0‎MAPA20170011477‎$a‎WingWong, Tat
24510‎$a‎Managing mortality risk with longevity bonds when mortality rates are cointegrated‎$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
7001 ‎$0‎MAPA20130000848‎$a‎Choi Chiu, Mei
700  ‎$0‎MAPA20090029910‎$a‎Ying Wong, Hoi
7730 ‎$w‎MAP20077000727‎$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