TY  - RPRT
A1  - Luciano, Elisa
A1  - Regis, Luca
UR  - http://www.carloalberto.org/assets/working-papers/no.308.pdf
M1  - working_paper
Y1  - 2013/10//
SN  - 2279-9362
AV  - public
TI  - Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
N2  - This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities. It builds a classical risk-return
frontier and shows that hedging strategies - such as the transfer of longevity risk - may increase the overall risk while decreasing expected returns, thus resulting in inefficient outcomes. Once calibrated to the 2010
UK longevity and bond market, the model gives conditions under which hedging policies become inefficient.

ID  - eprints1837
EP  - 26
ER  -