?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F1838%2F&rft.title=Single+and+cross-generation+natural+hedging+of+longevity+and+financial+risk&rft.creator=Luciano%2C+Elisa&rft.creator=Regis%2C+Luca&rft.creator=Vigna%2C+Elena&rft.subject=HD61+Risk+Management&rft.subject=HG+Finance&rft.subject=QA+Mathematics&rft.description=The+paper+provides+natural+hedging+strategies+among+death+benefits+and+annuities+written+on+a+single+and+on+different+generations.+It+obtains+closed-form+Delta+and+Gamma+hedges%2C+in+the+presence+of+both+longevity+and+interest+rate+risk.+We+present+an+application+to+UK+data+on+survivorship+and+bond+dynamics.+We+first+compare+longevity+and+financial+risk+exposures%3A+Deltas+and+Gammas+for+longevity+risk+are+greater+in+absolute+value+than+the+corresponding+sensitivities+for+interest+rate+risk.+We+then+calculate+the+optimal+hedges%2C+both+within+and+across+generations.+Our+results+apply+to+both+asset+and+asset-liability+management.&rft.date=2012-05&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F1838%2F1%2Fno.257.pdf&rft.identifier=++Luciano%2C+Elisa+and+Regis%2C+Luca+and+Vigna%2C+Elena++Single+and+cross-generation+natural+hedging+of+longevity+and+financial+risk.++Working+Paper++%23257%2F2012+++++ISSN+2279-9362.++++(Submitted)+++&rft.relation=http%3A%2F%2Fwww.carloalberto.org%2Fassets%2Fworking-papers%2Fno.257.pdf