Natural Hedging of Life and Annuity Mortality Risks
From MaRDI portal
Publication:5019742
DOI10.1080/10920277.2007.10597464zbMath1480.91196OpenAlexW3124939889MaRDI QIDQ5019742
Publication date: 10 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.319.3744
Related Items (52)
Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions ⋮ Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator ⋮ De-risking long-term care insurance ⋮ Hedging pure endowments with mortality derivatives ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion ⋮ A dynamic equivalence principle for systematic longevity risk management ⋮ Excess based allocation of risk capital ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Pension risk management with funding and buyout options ⋮ Do actuaries believe in longevity deceleration? ⋮ Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary ⋮ Natural hedging in continuous time life insurance ⋮ Spatial patterns of mortality in the United States: a spatial filtering approach ⋮ A feasible natural hedging strategy for insurance companies ⋮ Applications of Mortality Durations and Convexities in Natural Hedges ⋮ A Linear Regression Approach to Modeling Mortality Rates of Different Forms ⋮ The Impact of Disability Insurance on a Portfolio of Life Insurances ⋮ Actuarial applications of the linear hazard transform in mortality immunization ⋮ Longevity risk and capital markets: the 2008-2009 update ⋮ On the pricing of longevity-linked securities ⋮ Longevity bond premiums: the extreme value approach and risk cubic pricing ⋮ On the optimal product mix in life insurance companies using conditional value at risk ⋮ Mortality risk modeling: applications to insurance securitization ⋮ Application of Relational Models in Mortality Immunization ⋮ The Annuity Puzzle and an Outline of Its Solution ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Modelling longevity bonds: analysing the Swiss Re Kortis bond ⋮ De-risking defined benefit plans ⋮ Redistribution of longevity risk: the effect of heterogeneous mortality beliefs ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ A Cautionary Note on Natural Hedging of Longevity Risk ⋮ A General Semi-Markov Model for Coupled Lifetimes ⋮ NATURAL HEDGING IN LONG-TERM CARE INSURANCE ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Prepayment risk in reverse mortgages: an intensity-governed surrender model ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ The economics of sharing macro-longevity risk ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Price bounds of mortality-linked security in incomplete insurance market ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Optimal Longevity Risk Transfer and Investment Strategies ⋮ Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools ⋮ Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies ⋮ Multivariate higher order moments in multi-state life insurance ⋮ Assessing the solvency of insurance portfolios via a continuous-time cohort model ⋮ On the effectiveness of natural hedging for insurance companies and pension plans ⋮ Relative Hedging of Systematic Mortality Risk
Cites Work
- Unnamed Item
- Mortality derivatives and the option to annuitise.
- On life insurance reserves in a stochastic mortality and interest rates environment
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Approaches and Experiences in Projecting Mortality Patterns for the Oldest-Old
- Historical and Projected Mortality for Mexico, Canada, and the United States
This page was built for publication: Natural Hedging of Life and Annuity Mortality Risks
