On the effectiveness of natural hedging for insurance companies and pension plans

DOI10.1016/j.insmatheco.2015.01.009zbMath1314.91142OpenAlexW2089326561WikidataQ58295293 ScholiaQ58295293MaRDI QIDQ2347119

Jackie Li, Steven Haberman

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/7221/1/Natural_Hedging_-_Copy.pdf

zbMATH Keywords

value-at-risklongevity riskrisk reductionnatural hedginghistorical simulationPoisson common factor modelPoisson Lee-Carter modelproduct-ratio model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items

Coherent modeling of male and female mortality using Lee-Carter in a complex number framework, Hedging Mortality/Longevity Risks for Multiple Years, Application of Relational Models in Mortality Immunization, A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE, Redistribution of longevity risk: the effect of heterogeneous mortality beliefs, NATURAL HEDGING IN LONG-TERM CARE INSURANCE, Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices

Uses Software

• LifeMetrics
• Human Mortality

Cites Work

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