eprintid: 2075
rev_number: 8
eprint_status: archive
userid: 53
dir: disk0/00/00/20/75
datestamp: 2013-12-17 15:29:35
lastmod: 2014-01-28 15:24:51
status_changed: 2013-12-17 15:29:35
type: article
succeeds: 1837
metadata_visibility: show
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: pub
subjects: HG
subjects: QA
divisions: EIC
full_text_status: public
monograph_type: other
keywords:     VaR for life insurance;
    Inefficient longevity risk transfer;
    Interest-rate with longevity risk
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: 2014
date_type: published
publication: Insurance: Mathematics and Economics
volume: 55
publisher: Elsevier
pagerange: 68-77
pages: 26
id_number: 10.1016/j.insmatheco.2013.12.002
institution: Collegio Carlo Alberto
refereed: TRUE
issn:  0167-6687
official_url: http://www.sciencedirect.com/science/article/pii/S0167668713002047
citation:   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)  
document_url: http://eprints.imtlucca.it/2075/1/no.308.pdf