TY  - RPRT
M1  - working_paper
N2  - 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.
A1  - Luciano, Elisa
A1  - Regis, Luca
A1  - Vigna, Elena
UR  - http://eprints.imtlucca.it/1801/
Y1  - 2011///
TI  - Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper
AV  - none
EP  - 19
ID  - eprints1801
ER  -