Mortality portfolio risk management

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<dc:date>2013-12-02</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/record.do?id=145872</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">In Copyright (InC) - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Mortality portfolio risk management</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 02/12/2013 Volumen 80 Número 4 - diciembre 2013 </dc:relation>
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