| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20130005867 |
| 003 | | | MAP |
| 005 | | | 20130221101053.0 |
| 008 | | | 130219e20121105esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a2 |
| 100 | | | $0MAPA20100040126$aSiu-Hang Li, Johnny |
| 245 | 1 | 0 | $aKey q-duration$b: a framework for hedging longevity risk$cJohnny Siu-Hang Li, Ancheng Luo |
| 520 | | | $aWhen hedging longevity risk with standardized contracts, the hedger needs to calibrate the hedge carefully so that it can effectively reduce the risk. In this article, we present a calibration method that is based on matching mortality rate sensitivities. Specifically, we introduce a measure called key q-duration, which allows us to estimate the price sensitivity of a life-contingent liability to each portion of the underlying mortality curve. Given this measure, one can easily construct a longevity hedge with a small number of q-forward contracts. We further propose an extension for hedging the longevity risk associated with multiple birth cohorts, and another extension for accommodating population basis risk. |
| 773 | 0 | | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g05/11/2012 Volumen 42 Número 2 - noviembre 2012 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
