Optimal hedging of longevity risks for group self-annuity portfolios

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Optimal hedging of longevity risks for group self-annuity portfolios</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130002439">
<namePart>Shen, Yang</namePart>
<nameIdentifier>MAPA20130002439</nameIdentifier>
</name>
<name type="corporate" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080465346">
<namePart>American Risk and Insurance Association</namePart>
<nameIdentifier>MAPA20080465346</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">usa</placeTerm>
</place>
<dateIssued encoding="marc">2025</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">The 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</abstract>
<note type="statement of responsibility">Yang Shen...[et al.]</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080573614">
<topic>Renta vitalicia</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090039629">
<topic>Riesgo actuarial</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>The Journal of risk and insurance</title>
</titleInfo>
<originInfo>
<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
</originInfo>
<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>17/11/2025 Volumen 92 Número 4 - noviembre 2025 , p. 1013 - 1058</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">260210</recordCreationDate>
<recordChangeDate encoding="iso8601">20260211192158.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20260003511</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>