Natural Hedging of Life and Annuity Mortality Risks
نویسندگان
چکیده
منابع مشابه
Natural Hedging of Life and Annuity Mortality Risks
The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utiliz...
متن کاملsecuritization of mortality risks in life annuities
insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...
15 صفحه اولValuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)
VALUATION AND HEDGING OF THE RUIN-CONTINGENT LIFE ANNUITY This paper analyzes a type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product is essentially a stand-alone version of the option embedded inside of a variable annuity, but without the buyer having to hand-over investment assets to the insurance company. The annuitant’s (i.e. long position) payoff fro...
متن کاملa new algorithm and software of individual life insurance and annuity computation
چکیده ندارد.
15 صفحه اولScale of Longevity Risks for Pension and Life Annuity Providers
Improved longevity is a human triumph. But improved longevity, when it occurs among those who are no longer economically productive, has a cost. Persistent decrease in mortality rates has become a major concern of annuity and pension providers, especially mortality improvements for post-retirement ages which have significant financial impact as far as survival benefits are concerned. There are ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: North American Actuarial Journal
سال: 2007
ISSN: 1092-0277,2325-0453
DOI: 10.1080/10920277.2007.10597464