?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F2635%2F&rft.title=Static+versus+dynamic+longevity%C2%AD+risk+hedging&rft.creator=De+Rosa%2C+Clemente&rft.creator=Luciano%2C+Elisa&rft.creator=Regis%2C+Luca&rft.subject=HB+Economic+Theory&rft.subject=QA+Mathematics&rft.description=This+paper+provides+the+static%2C+swap-based+hedge+for+an+annuity%2C+and%0D%0Acompares+it+with+the+dynamic%2C+delta-based+hedge%2C+achieved+using+longevity%0D%0Abonds.+We+assume+that+the+longevity+intensity+is+distributed+according+to%0D%0Aa+CIR-type+process+and+provide+closed-form+derivatives+prices+and+hedges%2C%0D%0Aalso+in+presence+of+an+analogous+CIR+process+for+interest+rate+risk.+Our%0D%0Acalibration+to+65-year+old+UK+males+shows+that+%E2%80%93+once+interest+rate+risk%0D%0Ais+perfectly+hedged+%E2%80%93+the+average+hedging+error+of+the+dynamic+hedge%0D%0Ais+moderate%2C+and+both+its+variance+and+the+thickness+of+the+tails+of+its%0D%0Adistribution+are+decreasing+with+the+rebalancing+frequency.+The+spread%0D%0Aover+the+basic+%22swap+rate%22+which+makes+99.5%25+quantile+of+the+distribution%0D%0Aof+the+dynamic+hedging+error+equal+to+the+cost+of+the+static+hedge+lies%0D%0Abetween+0.01+and+0.04%25.&rft.publisher=Collegio+Carlo+Alberto&rft.date=2015&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F2635%2F1%2Fno.403.pdf&rft.identifier=++De+Rosa%2C+Clemente+and+Luciano%2C+Elisa+and+Regis%2C+Luca++Static+versus+dynamic+longevity%C2%AD+risk+hedging.++Working+Paper++%23403%2F2015++++Collegio+Carlo+Alberto++++ISSN+2279-9362.++++++&rft.relation=http%3A%2F%2Fwww.carloalberto.org%2Fassets%2Fworking-papers%2Fno.403.pdf