Centro de Documentación de Fundación MAPFRE - Modelling and management of longevity risk : approximations to survivor functions and dynamics hedging

MAP20110070588

Modelling and management of longevity risk : approximations to survivor functions and dynamics hedging / A.J.G. Cairns

Sumario: This 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

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/11/2011 Tomo 49 Número 3 - 2011 , p. 438-453

1. Matemática del seguro . 2. Pensiones . 3. Análisis actuarial . 4. Solvencia II . 5. Longevidad .