Year: 2015
Type: article
Abstract: This article provides natural hedging strategies for life insurance and annuity businesses written on a single generation or on different generations in the presence of both longevity and interest‐rate risks. We obtain closed‐form solutions for delta and gamma hedges against cohort‐based longevity risk. We exploit the correlation between the mortality intensities of different generations and hedge the longevity risk of one cohort with products on other cohorts. An application with UK data on survivorship and bond dynamics shows that hedging is effective, even when rebalancing is infrequent.
Source: Journal of Risk & Insurance
DOI: 10.1111/jori.12104
Authors: Elisa Luciano, Luca Regis, Elena Vigna
Institution: University of Turin
Language: English
Subfield: Demography
Field: Social Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3023409871