Optimal hedging of longevity risks for group self-annuity portfolios

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      <subfield code="a">Optimal hedging of longevity risks for group self-annuity portfolios</subfield>
      <subfield code="c">Yang Shen...[et al.]</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="g">17/11/2025 Volumen 92 Número 4 - noviembre 2025 , p. 1013 - 1058</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
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