Modelling and management of longevity risk : approximations to survivor functions and dynamics hedging

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<title>Modelling and management of longevity risk</title>
<subTitle>: approximations to survivor functions and dynamics hedging</subTitle>
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<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2011</dateIssued>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">A.J.G. Cairns</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552114">
<topic>Pensiones</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041776">
<topic>Análisis actuarial</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
</subject>
<classification authority="">6</classification>
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<titleInfo>
<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>01/11/2011 Tomo 49 Número 3  - 2011 , p. 438-453</text>
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