relation: http://eprints.imtlucca.it/1801/
title: Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper
creator: Luciano, Elisa
creator: Regis, Luca
creator: Vigna, Elena
subject: HB Economic Theory
description: 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.
date: 2011
type: Working Paper
type: NonPeerReviewed
identifier:   Luciano, Elisa and Regis, Luca and Vigna, Elena  Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper.  Working Paper  #21/2011