Modelling and management of longevity risk : approximations to survivor functions and dynamics hedging
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20110070588 | ||
| 003 | MAP | ||
| 005 | 20111214123435.0 | ||
| 008 | 111202e20111101gbr|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20110031176$aCairns, A.J.G | ||
| 245 | 0 | 0 | $aModelling and management of longevity risk$b: approximations to survivor functions and dynamics hedging$cA.J.G. Cairns |
| 520 | $aThis paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulate for the valuation of mortality-linked liabilities and assets, and the consequent requirement for simulations within simulations. We propase the use of the probit function along with a Taylor expansion to approximate longevity-contingent values. This makes it possible to develop and Implement computationally efficient, diserete-time delta hedging strategies using q-forwards as hedging instruments | ||
| 650 | 1 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 1 | $0MAPA20080552114$aPensiones | |
| 650 | 1 | $0MAPA20090041776$aAnálisis actuarial | |
| 650 | 1 | $0MAPA20080564254$aSolvencia II | |
| 650 | 1 | $0MAPA20080555016$aLongevidad | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g01/11/2011 Tomo 49 Número 3 - 2011 , p. 438-453 |