NATURAL HEDGING IN LONG-TERM CARE INSURANCE

DOI10.1017/asb.2017.29zbMath1390.91192OpenAlexW2755763515MaRDI QIDQ5745194

Susanna Levantesi, Massimiliano Menzietti

Publication date: 5 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.29

zbMATH Keywords

disability risklong-term care insurancenatural hedgingconditional var minimizationmultivariate duration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

De-risking long-term care insurance ⋮ Natural hedging in continuous time life insurance ⋮ HOW FUNCTIONAL DATA CAN ENHANCE THE ESTIMATION OF HEALTH EXPECTANCY: THE CASE OF DISABLED SPANISH POPULATION ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Multivariate higher order moments in multi-state life insurance

Uses Software

• DEoptim

Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Managing longevity and disability risks in life annuities with long term care
• On the optimal product mix in life insurance companies using conditional value at risk
• On the effectiveness of natural hedging for insurance companies and pension plans
• Measuring Basis Risk in Longevity Hedges
• Natural Hedging of Life and Annuity Mortality Risks
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• A Cautionary Note on Natural Hedging of Longevity Risk

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