Single-and cross-generation natural hedging of longevity and financial risk

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<title>Single-and cross-generation natural hedging of longevity and financial risk</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120013452">
<namePart>Regis, Luca</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080058517">
<namePart>Vigna, Elena</namePart>
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<dateIssued encoding="marc">2017</dateIssued>
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<abstract displayLabel="Summary">This article provides natural hedging strategies for life insurance and annuity businesses written on a single generation or on different generations in the presence of both longevity and interest-rate risks. We obtain closed-form solutions for delta and gamma hedges against cohort-based longevity risk. We exploit the correlation between the mortality intensities of different generations and hedge the longevity risk of one cohort with products on other cohorts. An application with UK data on survivorship and bond dynamics shows that hedging is effective, even when rebalancing is infrequent.</abstract>
<note type="statement of responsibility">Elisa Luciano, Luca Regis, Elena Vigna</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080582418">
<topic>Riesgo financiero</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080578374">
<topic>Tasas de interés</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080553630">
<topic>Coberturas</topic>
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<classification authority="">34</classification>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>04/09/2017 Volumen 84 Número 3 - septiembre 2017 , p. 961-986</text>
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<recordIdentifier source="MAP">MAP20170028819</recordIdentifier>
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