@techreport{eprints1801,
            type = {Working Paper},
     institution = {IMT Institute for Advanced Studies Lucca},
          author = {Elisa Luciano and Luca Regis and Elena Vigna},
           title = {Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper},
            year = {2011},
             url = {http://eprints.imtlucca.it/1801/},
        abstract = {The paper presents closed-form Delta and Gamma hedges for annuities and death assurances, in the presence of both longevity and interest-rate risk. Longevity risk is modeled through an extension of the classical Gompertz law, while interest rate risk is modeled via an Hull-and-White process. We theoretically provide natural hedging strategies, considering also contracts written on different generations. We provide a UK-population and bond-market calibrated example. We compute longevity exposures and explicitly calculate Delta-Gamma hedges. Re-insurance is needed in order to set-up portfolios which are Delta-Gamma neutral to both longevity and interest-rate risk.}
}