<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "Static versus dynamic longevity­ risk hedging"^^ . "This paper provides the static, swap-based hedge for an annuity, and\r\ncompares it with the dynamic, delta-based hedge, achieved using longevity\r\nbonds. We assume that the longevity intensity is distributed according to\r\na CIR-type process and provide closed-form derivatives prices and hedges,\r\nalso in presence of an analogous CIR process for interest rate risk. Our\r\ncalibration to 65-year old UK males shows that – once interest rate risk\r\nis perfectly hedged – the average hedging error of the dynamic hedge\r\nis moderate, and both its variance and the thickness of the tails of its\r\ndistribution are decreasing with the rebalancing frequency. The spread\r\nover the basic \"swap rate\" which makes 99.5% quantile of the distribution\r\nof the dynamic hedging error equal to the cost of the static hedge lies\r\nbetween 0.01 and 0.04%."^^ . "2015" . . "403" . . "Collegio Carlo Alberto"^^ . . . . . . . . . . . . . "Luca"^^ . "Regis"^^ . "Luca Regis"^^ . . "Clemente"^^ . "De Rosa"^^ . "Clemente De Rosa"^^ . . "Elisa"^^ . "Luciano"^^ . "Elisa Luciano"^^ . . . . . . "Static versus dynamic longevity­ risk hedging (PDF)"^^ . . . . . "no.403.pdf"^^ . . . "Static versus dynamic longevity­ risk hedging (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Static versus dynamic longevity­ risk hedging (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Static versus dynamic longevity­ risk hedging (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Static versus dynamic longevity­ risk hedging (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #2635 \n\nStatic versus dynamic longevity­ risk hedging\n\n" . "text/html" . . . "HB Economic Theory"@en . . . "QA Mathematics"@en . .