Mortality portfolio risk management

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24500‎$a‎Mortality portfolio risk management‎$c‎Samuel H. Cox...[et.al]
520  ‎$a‎We provide a new method, the MV+CVaR approach, for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the meanvariance trade-off of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of moments and the maximum entropy method to analyze the efficiency of MV+CVaR mortality portfolios relative to traditional Markowitz meanvariance portfolios. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎02/12/2013 Volumen 80 Número 4 - diciembre 2013
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A