A combined analysis of hedge effectiveness and capital efficiency in longevity hedging

Matthias Börger, Arne Freimann and Jochen Ruß

Insurance: Mathematics and Economics, 2021, vol. 99, issue C, 309-326

Abstract: By hedging longevity exposures, annuity providers can reduce both the uncertainty in future cash flows and capital charges in a cost efficient manner. We argue that a separate analysis of these two aspects cannot provide a full picture of the implications of longevity hedging, in particular when using index-based instruments.

Keywords: Hedging longevity risk; Hedge effectiveness; Capital efficiency; Solvency regimes; Population basis risk (search for similar items in EconPapers)
JEL-codes: G22 G23 G32 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:99:y:2021:i:c:p:309-326

DOI: 10.1016/j.insmatheco.2021.03.023

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