Relative Hedging of Systematic Mortality Risk
نویسندگان
چکیده
منابع مشابه
Relative Hedging of Systematic Mortality Risk
We study indifference pricing mechanisms for mortality contingent claims under stochastic mortality age structures. Our focus is on capturing the internal cross-hedge between components of an insurer’s portfolio, especially between life annuities and life insurance. We carry out an exhaustive analysis of the dynamic exponential premium principle which is the representative nonlinear pricing rul...
متن کاملHedging Endowment Assurance Products under Interest Rate and Mortality Risk
This paper analyzes how model misspecification associated with both interest rate and mortality risk influences hedging decisions of insurance companies. For this purpose, diverse risk management strategies which are risk–minimizing when model risk is ignored come into consideration. The effectiveness of these strategies is investigated by looking at the distribution of the resulting hedging er...
متن کاملLiquidity Risk Hedging
Long-term bonds are exposed to higher interest-rate risk, or duration, than short-term bonds. Conventional interest-rate risk management prescribes that a firm structure the maturity of its liabilities in order to hedge the duration of its long-term assets (?). By doing so, the firm’s assets and liabilities move in lockstep, and its net equity is shielded from (at least small) movements in inte...
متن کاملDelta-hedging Vega Risk?
In this article we compare the Profit and Loss arising from the delta-neutral dynamic hedging of options, using two possible values for the delta of the option. The first one is the Black– Scholes implied delta, while the second one is the local delta, namely the delta of the option in a generalized Black–Scholes model with a local volatility, recalibrated to the market smile every day. We expl...
متن کاملHedging Volatility Risk
Volatility derivatives are becoming increasingly popular as means for hedging unexpected changes in volatility. Although pricing volatility derivatives demands extreme care in modeling the underlying volatility process, not much attention has been devoted to the complete specification of the autonomous process that volatility follows in continuous time. Despite the fact that jumps are widely co...
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: 2009
ISSN: 1092-0277,2325-0453
DOI: 10.1080/10920277.2009.10597542