<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "Single and cross-generation natural hedging of longevity and financial risk"^^ . "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."^^ . "2015-06" . . . "American Risk and Insurance Association"^^ . . . "Journal of Risk and Insurance"^^ . . . "15396975" . . . . . . . . . . . . . "Elena"^^ . "Vigna"^^ . "Elena Vigna"^^ . . "Luca"^^ . "Regis"^^ . "Luca Regis"^^ . . "Elisa"^^ . "Luciano"^^ . "Elisa Luciano"^^ . . . . . . "Single and cross-generation natural hedging of longevity and financial risk (PDF)"^^ . . . "no.257.pdf"^^ . . . "Single and cross-generation natural hedging of longevity and financial risk (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Single and cross-generation natural hedging of longevity and financial risk (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Single and cross-generation natural hedging of longevity and financial risk (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Single and cross-generation natural hedging of longevity and financial risk (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #2726 \n\nSingle and cross-generation natural hedging of longevity and financial risk\n\n" . "text/html" . . . "HD61 Risk Management"@en . . . "HG Finance"@en . . . "QA Mathematics"@en . .