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Single-and cross-generation natural hedging of longevity and financial risk
Recurso electrónico / Electronic resource
MAP20170028819
Luciano, Elisa ‌
Single-and cross-generation natural hedging of longevity and financial risk / Elisa Luciano, Luca Regis, Elena Vigna
26 p.
Sumario: This article provides natural hedging strategies for life insurance and annuity businesses written on a single generation or on different generations in the presence of both longevity and interest-rate risks. We obtain closed-form solutions for delta and gamma hedges against cohort-based longevity risk. We exploit the correlation between the mortality intensities of different generations and hedge the longevity risk of one cohort with products on other cohorts. An application with UK data on survivorship and bond dynamics shows that hedging is effective, even when rebalancing is infrequent
En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 04/09/2017 Volumen 84 Número 3 - septiembre 2017 , p. 961-986
1. Longevidad ‌. 2. Riesgo financiero ‌. 3. Seguro de vida ‌. 4. Tasas de interés ‌. 5. Coberturas ‌. I. Regis, Luca ‌. II. Vigna, Elena ‌. III. Título.