?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F1801%2F&rft.title=Natural+Delta+Gamma+Hedging+of+Longevity+and+Interest+Rate+Risk.+ICER+Working+Paper&rft.creator=Luciano%2C+Elisa&rft.creator=Regis%2C+Luca&rft.creator=Vigna%2C+Elena&rft.subject=HB+Economic+Theory&rft.description=The+paper+presents+closed-form+Delta+and+Gamma+hedges+for+annuities+and+death+assurances%2C+in+the+presence+of+both+longevity+and+interest-rate+risk.+Longevity+risk+is+modeled+through+an+extension+of+the+classical+Gompertz+law%2C+while+interest+rate+risk+is+modeled+via+an+Hull-and-White+process.+We+theoretically+provide+natural+hedging+strategies%2C+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.&rft.date=2011&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.identifier=++Luciano%2C+Elisa+and+Regis%2C+Luca+and+Vigna%2C+Elena++Natural+Delta+Gamma+Hedging+of+Longevity+and+Interest+Rate+Risk.+ICER+Working+Paper.++Working+Paper++%2321%2F2011++++++++++