Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary

DOI10.1016/J.INSMATHECO.2015.10.006MaRDI QIDQ903329zbMATH OpenOpenAlexFDO

Authors Tzuling Lin, Cary Chi-Liang Tsai

Publication date 5 January 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.10.006

zbMATH Keywords

Lee-Carter modellongevity riskmortality riskdownside riskhedge effectiveness

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Hedging Mortality/Longevity Risks for Multiple Years
• Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
• Hedging Longevity Risk When Interest Rates are Uncertain
• On the mortality/longevity risk hedging with mortality immunization
• Mortality options: the point of view of an insurer

Cites work

• Age-specific copula-AR-GARCH mortality models
• Applications of mortality durations and convexities in natural hedges
• Key q-duration: a framework for hedging longevity risk
• Longevity risk in pension annuities with exchange options: the effect of product design
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality risk modeling: applications to insurance securitization
• Natural hedging of life and annuity mortality risks
• On age-period-cohort parametric mortality rate projections
• On stochastic mortality modeling
• On the mortality/longevity risk hedging with mortality immunization
• The role of longevity bonds in optimal portfolios

Cited in

(9)

• Correlated age-specific mortality model: an application to annuity portfolio management
• Hedging Mortality/Longevity Risks for Multiple Years
• HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
• Hedging Longevity Risk When Interest Rates are Uncertain
• Forward mortality rates in discrete time. II: Longevity risk and hedging strategies
• A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE
• Hedging life insurance with pure endowments
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds

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