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Applications of mortality durations and convexities in natural hedges

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      <subfield code="0">MAPA20140024919</subfield>
      <subfield code="a">Lin, Tzuling</subfield>
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    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Applications of mortality durations and convexities in natural hedges</subfield>
      <subfield code="c">Tzuling Lin, Cary Chi-Liang Tsai</subfield>
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      <subfield code="a">Defining and deriving the mortality durations and convexities of the prices of life insurance and annuity products with respect to an instantaneously proportional change and an instantaneously parallel shift, respectively, in µs (the forces of mortality), qs (the one-year death probabilities), ps (the one-year survival probabilities), ln?(µ)s, (q/p)s, and ln?(q/p)s, this article applies 24 proposed duration/convexity matching strategies classified into seven groups to determine the weights of two products in an insurance portfolio. The hedging performances of some qualified matching strategies selected as representatives are evaluated by comparing their Value at Risk (VaR) values and variance reduction ratios for a base scenario. We also test some specific scenarios for the population basis risk, model risk, volatility and jump risks, and interest rate risk to see the impacts on the matching strategies. Numerical examples show that some convexity matching strategies overall outperform the others in the VaR value and in the effectiveness of hedging both longevity and mortality risks for two kinds of insurance portfolios</subfield>
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      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
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      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="0">MAPA20080570590</subfield>
      <subfield code="a">Seguro de vida</subfield>
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      <subfield code="0">MAPA20080592059</subfield>
      <subfield code="a">Modelos predictivos</subfield>
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      <subfield code="0">MAPA20080580377</subfield>
      <subfield code="a">Esperanza de vida</subfield>
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      <subfield code="0">MAPA20080591182</subfield>
      <subfield code="a">Gerencia de riesgos</subfield>
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      <subfield code="0">MAPA20130017037</subfield>
      <subfield code="a">Análisis predictivos</subfield>
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    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080555306</subfield>
      <subfield code="a">Mortalidad</subfield>
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      <subfield code="0">MAPA20080660314</subfield>
      <subfield code="a">Tsai, Cary Chi-Liang</subfield>
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      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">01/09/2014 Tomo 18 Número 3 - 2014 , p. 417-442</subfield>
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