Hedging mortality-longevity risks for multiple years
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
<record>
<leader>00000cab a2200000 4500</leader>
<controlfield tag="001">MAP20200011613</controlfield>
<controlfield tag="003">MAP</controlfield>
<controlfield tag="005">20200413180442.0</controlfield>
<controlfield tag="008">200408e20200302usa|||p |0|||b|eng d</controlfield>
<datafield tag="040" ind1=" " ind2=" ">
<subfield code="a">MAP</subfield>
<subfield code="b">spa</subfield>
<subfield code="d">MAP</subfield>
</datafield>
<datafield tag="084" ind1=" " ind2=" ">
<subfield code="a">341</subfield>
</datafield>
<datafield tag="100" ind1="1" ind2=" ">
<subfield code="0">MAPA20140024919</subfield>
<subfield code="a">Lin, Tzuling</subfield>
</datafield>
<datafield tag="245" ind1="1" ind2="0">
<subfield code="a">Hedging mortality-longevity risks for multiple years</subfield>
<subfield code="c">Tzuling Lin, Cary Chi-Liang Tsai</subfield>
</datafield>
<datafield tag="520" ind1=" " ind2=" ">
<subfield code="a">In this article, we develop strategies of hedging multiyear mortality (longevity) risk for a life insurer (an annuity provider) through purchasing some mortality-linked securities from a financial intermediary. Under the multiyear hedges for a life insurers (an annuity provider) involving two uncertain factors-the mortality rate and the number of life insureds (annuity recipients)- we derive closed-form formulas for the optimal units of purchasing underlying mortality-linked securities. Numerical illustrations show that the downside risk of loss because of mortality (longevity) risk for the life insurer (annuity provider) can be significantly hedged by purchasing the optimal units of mortality-linked securities, and the sample risk can be reduced by increasing the number of life insureds (annuity recipients) at issue. For a financial intermediary, adopting an optimal weight of a portfolio of life and annuity business can reduce extreme losses from the longevity risk but could slightly increase losses from the mortality risk, and the sample risk cannot necessarily be eliminated by increasing the number of life insureds/annuity recipients at issue.</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080555016</subfield>
<subfield code="a">Longevidad</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080573614</subfield>
<subfield code="a">Renta vitalicia</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080590567</subfield>
<subfield code="a">Empresas de seguros</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080553241</subfield>
<subfield code="a">Asegurados</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080570590</subfield>
<subfield code="a">Seguro de vida</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2="4">
<subfield code="0">MAPA20080555306</subfield>
<subfield code="a">Mortalidad</subfield>
</datafield>
<datafield tag="650" ind1=" " ind2=" ">
<subfield code="0">MAPA20200021438</subfield>
<subfield code="a">Ageingnomics. Economia senior</subfield>
</datafield>
<datafield tag="700" ind1=" " ind2=" ">
<subfield code="0">MAPA20080660314</subfield>
<subfield code="a">Tsai, Cary Chi-Liang</subfield>
</datafield>
<datafield tag="773" ind1="0" ind2=" ">
<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">02/03/2020 Tomo 24 Número 1 - 2020 , p. 118-140</subfield>
</datafield>
</record>
</collection>