Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging

DOI10.1016/J.INSMATHECO.2011.06.004zbMATH Open1230.91068OpenAlexW1998453619MaRDI QIDQ654824FDOQ654824

Authors: Andrew J. G. Cairns 

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.06.004

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zbMATH Keywords

longevity riskdynamic hedgingSolvency II\(q\)-forwarddelta hedgingCBD modelprobit-Taylor approximation

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling adult mortuality in small populations the saint model
• On systematic mortality risk and risk-minimization with survivor swaps
• A gravity model of mortality rates for two related populations
• Measuring Basis Risk in Longevity Hedges
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Modeling and management of mortality risk: a review
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• Longevity hedge effectiveness: a decomposition
• Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Stochastic Mortality: The Impact on Target Capital
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk

Cited In (30)

• A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
• Longevity hedge effectiveness: a decomposition
• Parametric mortality indexes: from index construction to hedging strategies
• Downside risk management of a defined benefit plan considering longevity basis risk
• Modeling period effects in multi-population mortality models: applications to Solvency II
• Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach
• Longevity hedge effectiveness using socioeconomic indices
• A new approximation of annuity prices for age-period-cohort models
• A partial internal model for longevity risk
• Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk
• Stochastic modelling of mortality and financial markets
• Longevity Greeks: what do insurers and capital market investors need to know?
• Modeling longevity risk with generalized dynamic factor models and vine-copulae
• Dynamic hedging of longevity risk: the effect of trading frequency
• Statistical emulators for pricing and hedging longevity risk products
• Recent declines in life expectancy: implication on longevity risk hedging
• Computational framework for longevity risk management
• Optimal dynamic longevity hedge with basis risk
• It's all in the hidden states: a longevity hedging strategy with an explicit measure of population basis risk
• Individual post-retirement longevity risk management under systematic mortality risk
• Green nested simulation via likelihood ratio: applications to longevity risk management
• Risk management for pension funds. A continuous time approach with applications in R
• The heat wave model for constructing two-dimensional mortality improvement scales with measures of uncertainty
• De-risking defined benefit plans
• An efficient method for mitigating longevity value-at-risk
• The CBD Mortality Indexes: Modeling and Applications
• Constructing out-of-the-money longevity hedges using parametric mortality indexes
• A strategy for hedging risks associated with period and cohort effects using q-forwards
• If we can simulate it, we can insure it: an application to longevity risk management
• The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk

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