eprintid: 1837
rev_number: 10
eprint_status: archive
userid: 53
dir: disk0/00/00/18/37
datestamp: 2013-10-21 12:38:36
lastmod: 2013-10-21 12:39:19
status_changed: 2013-10-21 12:38:36
type: monograph
metadata_visibility: no_search
creators_name: Luciano, Elisa
creators_name: Regis, Luca
creators_id: 
creators_id: luca.regis@imtlucca.it
title: Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
ispublished: submitted
subjects: HG
subjects: QA
divisions: EIC
full_text_status: public
monograph_type: working_paper
abstract: 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.

date: 2013-10
number: 38
pages: 26
institution: Collegio Carlo Alberto
issn: 2279-9362
official_url: http://www.carloalberto.org/assets/working-papers/no.308.pdf
citation:   Luciano, Elisa and Regis, Luca  Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk.  Working Paper  #38/2013     ISSN 2279-9362.    (Submitted)   
document_url: http://eprints.imtlucca.it/1837/1/no.308.pdf