Mortality portfolio risk management

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      <subfield code="a">Mortality portfolio risk management</subfield>
      <subfield code="c">Samuel H. Cox...[et.al]</subfield>
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      <subfield code="a">We provide a new method, the MV+CVaR approach, for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the meanvariance trade-off of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of moments and the maximum entropy method to analyze the efficiency of MV+CVaR mortality portfolios relative to traditional Markowitz meanvariance portfolios. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">02/12/2013 Volumen 80 Número 4 - diciembre 2013 </subfield>
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      <subfield code="y">MÁS INFORMACIÓN</subfield>
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