Dynamic hedging of longevity risk : the effect of trading frequency
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180005701 | ||
| 003 | MAP | ||
| 005 | 20180313090223.0 | ||
| 008 | 180226e20180101bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20170005766$aLi, Hong | ||
| 245 | 1 | 0 | $aDynamic hedging of longevity risk$b: the effect of trading frequency$cHong Li |
| 520 | $aThis paper investigates dynamic hedging strategies for pension and annuity liabilities that are exposed to longevity risk. In particular, we consider a hedger who wishes to minimize the variance of her hedging error using index-based longevity-linked derivatives. To cope with the fact that liquidity of longevitylinked derivatives is still limited, we consider a liquidity constrained case where the hedger can only trade longevity-linked derivatives at a frequency lower than other assets. Time-consistent, closed-form solutions of optimal hedging strategies are obtained under a forward mortality framework. In the numerical illustration, we show that lowering the trading of the longevity-linked derivatives to a 2-year frequency only leads to a slight loss of the hedging performance. Moreover, even when the longevity-linked derivatives are traded at a very low (5-year) frequency, dynamic hedging strategies still significantly outperform the static one. | ||
| 650 | 4 | $0MAPA20080552114$aPensiones | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080601522$aEvaluación de riesgos | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080604394$aValoración de riesgos | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 197-232 |