Mortality portfolio risk management

Registro MARC
LDR  00000cab a2200000 4500
001  MAP20140003525
003  MAP
005  20140204173655.0
008  140127e20131202esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
24500‎$a‎Mortality portfolio risk management‎$c‎Samuel H. Cox...[]
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  ‎$y‎MÁS INFORMACIÓN‎$u‎