?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F1837%2F&rft.title=Efficient+versus+inefficient+hedging+strategies+in+the+presence+of+financial+and+longevity+(value+at)+risk&rft.creator=Luciano%2C+Elisa&rft.creator=Regis%2C+Luca&rft.subject=HG+Finance&rft.subject=QA+Mathematics&rft.description=This+paper+provides+a+closed-form+Value-at-Risk+(VaR)+for+the+net+exposure+of+an+annuity+provider%2C+taking+into+account+both+mortality+and+interest-rate+risk%2C+on+both+assets+and+liabilities.+It+builds+a+classical+risk-return%0D%0Afrontier+and+shows+that+hedging+strategies+-+such+as+the+transfer+of+longevity+risk+-+may+increase+the+overall+risk+while+decreasing+expected+returns%2C+thus+resulting+in+inefficient+outcomes.+Once+calibrated+to+the+2010%0D%0AUK+longevity+and+bond+market%2C+the+model+gives+conditions+under+which+hedging+policies+become+inefficient.%0D%0A&rft.date=2013-10&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F1837%2F1%2Fno.308.pdf&rft.identifier=++Luciano%2C+Elisa+and+Regis%2C+Luca++Efficient+versus+inefficient+hedging+strategies+in+the+presence+of+financial+and+longevity+(value+at)+risk.++Working+Paper++%2338%2F2013+++++ISSN+2279-9362.++++(Submitted)+++&rft.relation=http%3A%2F%2Fwww.carloalberto.org%2Fassets%2Fworking-papers%2Fno.308.pdf