Mortality portfolio risk management

Colección: Artículos

Título: Mortality portfolio risk management / Samuel H. Cox...[]
Notas: Sumario: We 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.
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