eprintid: 1801
rev_number: 8
eprint_status: archive
userid: 6
dir: disk0/00/00/18/01
datestamp: 2013-09-27 11:46:40
lastmod: 2013-09-27 11:46:40
status_changed: 2013-09-27 11:46:40
type: monograph
metadata_visibility: show
creators_name: Luciano, Elisa
creators_name: Regis, Luca
creators_name: Vigna, Elena
creators_id: 
creators_id: luca.regis@imtlucca.it
creators_id: 
title: Natural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working Paper
ispublished: pub
subjects: HB
divisions: EIC
full_text_status: none
monograph_type: working_paper
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.
date: 2011
date_type: published
number: 21
pages: 19
institution: IMT Institute for Advanced Studies Lucca
related_url_url: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1974464
citation:   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