Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary

DOI10.1016/J.INSMATHECO.2015.10.006zbMath1348.91169OpenAlexW2176282676MaRDI QIDQ903329

Tzuling Lin, Cary Chi-Liang Tsai

Publication date: 5 January 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.006

zbMATH Keywords

longevity riskLee-Carter modeldownside riskmortality riskhedge effectiveness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical geography and demography (91D20)

Related Items (4)

Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE ⋮ Correlated age-specific mortality model: an application to annuity portfolio management

Cites Work

• Modeling and Forecasting U.S. Mortality
• On age-period-cohort parametric mortality rate projections
• On stochastic mortality modeling
• Longevity risk in pension annuities with exchange options: the effect of product design
• Mortality risk modeling: applications to insurance securitization
• The role of longevity bonds in optimal portfolios
• On the mortality/longevity risk hedging with mortality immunization
• Age-specific copula-AR-GARCH mortality models
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Measuring Basis Risk in Longevity Hedges
• Natural Hedging of Life and Annuity Mortality Risks
• Applications of Mortality Durations and Convexities in Natural Hedges

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