A feasible natural hedging strategy for insurance companies

Chou-Wen Wang, Hong-Chih Huang and De-Chuan Hong

Insurance: Mathematics and Economics, 2013, vol. 52, issue 3, 532-541

Abstract: To offer a means for insurance companies to deal with longevity risk, this article investigates a natural hedging strategy and attempts to find an optimal allocation of insurance products. Unlike prior research, this proposed natural hedging model can account for both the variance and mispricing effects of longevity risk at the same time. In addition, this study employs experience mortality rates, obtained from life insurance companies, rather than population mortality data for life insurance and annuity products.

Keywords: Longevity risk; Natural hedging strategy; Experience mortality rates (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:3:p:532-541

DOI: 10.1016/j.insmatheco.2013.02.015

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