relation: http://eprints.imtlucca.it/2075/
title: Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
creator: Luciano, Elisa
creator: Regis, Luca
subject: HG Finance
subject: QA Mathematics
description: 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.  
publisher: Elsevier
date: 2014
type: Article
type: PeerReviewed
format: application/pdf
language: en
identifier: http://eprints.imtlucca.it/2075/1/no.308.pdf
identifier:   Luciano, Elisa and Regis, Luca  Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk.  Insurance: Mathematics and Economics, 55.  pp. 68-77.  ISSN  0167-6687      (2014)  
relation: http://www.sciencedirect.com/science/article/pii/S0167668713002047
relation: 10.1016/j.insmatheco.2013.12.002