?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F2261%2F&rft.title=Assessing+the+solvency+of+insurance+portfolios+via+a+continuous+time+cohort+model&rft.creator=Jevti%C4%87%2C+Petar&rft.creator=Regis%2C+Luca&rft.subject=HB+Economic+Theory&rft.subject=HD61+Risk+Management&rft.subject=HG+Finance&rft.description=This+paper+evaluates+the+solvency+of+a+portfolio+of+assets+and+liabilities+of+an+insurer+subject+to+both+longevity+and+financial+risks.+Liabilities+are+evaluated+at+fair-value+and%2C+as+a+consequence%2C+interest-rate+risk+can+affect+both+the+assets+and+the+liabilities.+Longevity+risk+is%0D%0Adescribed+via+a+continuous-time+cohort+model.+We+evaluate+the+effects+of+natural+hedging+strategies+on+the+risk+profile+of+an+insurance+portfolio+in+run-off.+Numerical+simulations%2C+calibrated+to+UK+historical+data%2C+show+that+systematic+longevity+risk+is+of+particular+importance%0D%0Aand+needs+to+be+hedged.+Natural+hedging+can+improve+the+solvency+of+the+insurer%2C+if+interest-rate+risk+is+appropriately+managed.+We+stress+that+asset+allocation+choices+should+not+be+independent+of+the+composition+of+the+liability+portfolio+of+the+insurer.&rft.publisher=IMT+Institute+for+Advanced+Studies+Lucca&rft.date=2014-07&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.rights=cc_by_nd&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F2261%2F1%2FEIC_WP_7_2014.pdf&rft.identifier=++Jevti%C4%87%2C+Petar+and+Regis%2C+Luca++Assessing+the+solvency+of+insurance+portfolios+via+a+continuous+time+cohort+model.++EIC+working+paper+series++%237%2F2014++++IMT+Institute+for+Advanced+Studies+Lucca++++ISSN+2279-6894.++++++