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A Feasible natural hedging strategy for insurance companies

MAP20130024523
Wang, Chou-Wen
A Feasible natural hedging strategy for insurance companies / Chou-Wen Wang, Hong-Chih Huang, De-Chuan Hong
Sumario: To offer a means for insurance companies to deal with longevity risk, this article investigates a natural hedging strategy and attempts to find an optimal allocation of insurance products. Unlike prior research, this proposed natural hedging model can account for both the variance and mispricing effects of longevity risk at the same time. In addition, this study employs experience mortality rates, obtained from life insurance companies, rather than population mortality data for life insurance and annuity products
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 06/05/2013 Volumen 52 Número 3 - mayo 2013
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