Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective downside p...

Full description

Bibliographic Details
Main Authors: Man Chung Fung, Katja Ignatieva, Michael Sherris
Format: Article
Language:English
Published: MDPI AG 2019-01-01
Series:Risks
Subjects:
longevity risk management
longevity swaps
longevity options
hedge effectiveness
Online Access:http://www.mdpi.com/2227-9091/7/1/2

Internet

http://www.mdpi.com/2227-9091/7/1/2

Similar Items