relation: http://eprints.imtlucca.it/2726/
title: Single and cross-generation natural hedging of longevity and financial risk
creator: Luciano, Elisa
creator: Regis, Luca
creator: Vigna, Elena
subject: HD61 Risk Management
subject: HG Finance
subject: QA Mathematics
description: The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk. We present an application to UK data on survivorship and bond dynamics. We first compare longevity and financial risk exposures: Deltas and Gammas for longevity risk are greater in absolute value than the corresponding sensitivities for interest rate risk. We then calculate the optimal hedges, both within and across generations. Our results apply to both asset and asset-liability management.
publisher: American Risk and Insurance Association
date: 2015-06
type: Article
type: PeerReviewed
format: application/pdf
language: en
identifier: http://eprints.imtlucca.it/2726/1/no.257.pdf
identifier:   Luciano, Elisa and Regis, Luca and Vigna, Elena  Single and cross-generation natural hedging of longevity and financial risk.  Journal of Risk and Insurance.   ISSN 1539-6975    (In Press)   (2015)