Optimal hedging of longevity risks for group self-annuity portfolios
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260003511 | ||
| 003 | MAP | ||
| 005 | 20260211192158.0 | ||
| 008 | 260210e20251117usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 0 | 0 | $aOptimal hedging of longevity risks for group self-annuity portfolios$cYang Shen...[et al.] |
| 520 | $aThe article presents a dynamic hedging framework to manage systematic longevity risk in group self-annuity (GSA) portfolios. Using a multi-population model that incorporates basis risk, it applies an annual S-forward strategy to obtain optimal hedges within a meanvariance approach. The results show that this hedging method significantly reduces benefit volatility and remains effective under varying assumptions, including reference age, maturity, pool size, interest rates, and mortality models. The study also integrates investment-risk management through target-volatility strategies, enhancing the stability and performance of retirement income | ||
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080573614$aRenta vitalicia | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20090039629$aRiesgo actuarial | |
| 700 | 1 | $0MAPA20130002439$aShen, Yang | |
| 710 | 2 | $0MAPA20080465346$aAmerican Risk and Insurance Association | |
| 773 | 0 | $wMAP20077000727$g17/11/2025 Volumen 92 Número 4 - noviembre 2025 , p. 1013 - 1058$x0022-4367$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964- |