IMT Institutional Repository: No conditions. Results ordered -Date Deposited. 2024-05-21T11:07:43ZEPrintshttp://eprints.imtlucca.it/images/logowhite.pnghttp://eprints.imtlucca.it/2015-07-08T09:45:55Z2015-07-08T09:45:55Zhttp://eprints.imtlucca.it/id/eprint/2726This item is in the repository with the URL: http://eprints.imtlucca.it/id/eprint/27262015-07-08T09:45:55ZSingle and cross-generation natural hedging of longevity and financial riskThe 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.Elisa LucianoLuca Regisluca.regis@imtlucca.itElena Vigna2013-09-27T13:02:28Z2013-09-30T11:58:44Zhttp://eprints.imtlucca.it/id/eprint/1808This item is in the repository with the URL: http://eprints.imtlucca.it/id/eprint/18082013-09-27T13:02:28ZDelta–Gamma hedging of mortality and interest rate risk One of the major concerns of life insurers and pension funds is the increasing longevity of their beneficiaries. This paper studies the hedging problem of annuity cash flows when mortality and interest rates are stochastic. We first propose a Delta–Gamma hedging technique for mortality risk. The risk factor against which to hedge is the difference between the actual mortality intensity in the future and its “forecast” today, the forward intensity. We specialize the hedging technique first to the case in which mortality intensities are affine, then to Ornstein–Uhlenbeck and Feller processes, providing actuarial justifications for this selection. We show that, without imposing no arbitrage, we can get equivalent probability measures under which the {HJM} condition for no arbitrage is satisfied. Last, we extend our results to the presence of both interest rate and mortality risk. We provide a {UK} calibrated example of Delta–Gamma hedging of both mortality and interest rate risk. Elisa LucianoLuca Regisluca.regis@imtlucca.itElena Vigna2013-09-27T11:46:40Z2013-09-27T11:46:40Zhttp://eprints.imtlucca.it/id/eprint/1801This item is in the repository with the URL: http://eprints.imtlucca.it/id/eprint/18012013-09-27T11:46:40ZNatural Delta Gamma Hedging of Longevity and Interest Rate Risk. ICER Working PaperThe paper presents closed-form Delta and Gamma hedges for annuities and death assurances, in the presence of both longevity and interest-rate risk. Longevity risk is modeled through an extension of the classical Gompertz law, while interest rate risk is modeled via an Hull-and-White process. We theoretically provide natural hedging strategies, considering also contracts written on different generations. We provide a UK-population and bond-market calibrated example. We compute longevity exposures and explicitly calculate Delta-Gamma hedges. Re-insurance is needed in order to set-up portfolios which are Delta-Gamma neutral to both longevity and interest-rate risk.Elisa LucianoLuca Regisluca.regis@imtlucca.itElena Vigna