eprintid: 2726
rev_number: 8
eprint_status: archive
userid: 53
dir: disk0/00/00/27/26
datestamp: 2015-07-08 09:45:55
lastmod: 2015-07-08 09:45:55
status_changed: 2015-07-08 09:45:55
type: article
succeeds: 1838
metadata_visibility: show
creators_name: Luciano, Elisa
creators_name: Regis, Luca
creators_name: Vigna, Elena
creators_id: 
creators_id: luca.regis@imtlucca.it
creators_id: 
title: Single and cross-generation natural hedging of longevity and financial risk
ispublished: inpress
subjects: HD61
subjects: HG
subjects: QA
divisions: EIC
full_text_status: public
monograph_type: working_paper
abstract: 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.
date: 2015-06
publication: Journal of Risk and Insurance
publisher: American Risk and Insurance Association
pages: 26
institution: Collegio Carlo Alberto
refereed: TRUE
issn: 1539-6975
citation:   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)  
document_url: http://eprints.imtlucca.it/2726/1/no.257.pdf