Optimal hedging of longevity risks for group self-annuity portfolios

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<dc:creator>Shen, Yang</dc:creator>
<dc:creator>American Risk and Insurance Association</dc:creator>
<dc:date>2025-11-17</dc:date>
<dc:description xml:lang="es">Sumario: 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189583.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Renta vitalicia</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Riesgo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Optimal hedging of longevity risks for group self-annuity portfolios</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. - 17/11/2025 Volumen 92 Número 4 - noviembre 2025 , p. 1013 - 1058</dc:relation>
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