eprintid: 1838 rev_number: 10 eprint_status: archive userid: 53 dir: disk0/00/00/18/38 datestamp: 2013-10-22 08:01:34 lastmod: 2013-10-22 08:01:34 status_changed: 2013-10-22 08:01:34 type: monograph metadata_visibility: no_search creators_name: Luciano, Elisa creators_name: Regis, Luca creators_name: Vigna, Elena creators_id: creators_id: luca.regis@imtlucca.it creators_id: title: Single and cross-generation natural hedging of longevity and financial risk ispublished: submitted subjects: HD61 subjects: HG subjects: QA divisions: EIC full_text_status: public monograph_type: working_paper abstract: 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, 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: 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, both within and across generations. Our results apply to both asset and asset-liability management. date: 2012-05 number: 257 pages: 26 institution: Collegio Carlo Alberto issn: 2279-9362 official_url: http://www.carloalberto.org/assets/working-papers/no.257.pdf citation: Luciano, Elisa and Regis, Luca and Vigna, Elena Single and cross-generation natural hedging of longevity and financial risk. Working Paper #257/2012 ISSN 2279-9362. (Submitted) document_url: http://eprints.imtlucca.it/1838/1/no.257.pdf