<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper"^^ . "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."^^ . "2011" . "21" . . . . . . . . . . . . "Elisa"^^ . "Luciano"^^ . "Elisa Luciano"^^ . . "Luca"^^ . "Regis"^^ . "Luca Regis"^^ . . "Elena"^^ . "Vigna"^^ . "Elena Vigna"^^ . . . . . "HTML Summary of #1801 \n\nNatural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper\n\n" . "text/html" . . . "HB Economic Theory"@en . .