Natural hedging strategies for life insurers : impact of...

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Artículos Artículos Natural hedging strategies for life insurers : impact of product design and risk measure - Wong, Andy

Colección: Artículos

Título: Natural hedging strategies for life insurers : impact of product design and risk measure / Andy Wong, Michael Sherris, Rafph Stevens

Autor: Wong, Andy Icono con lupa

Notas: Sumario: Natural hedging allows life insurers to manage long-term longevity and investment risks of life annuity products through offsetting risks in life insurance products. Benefits include a reduction in risk-based capital. We use stochastic mortality and interest rate models to assess life insurance and annuity capital requirements and to quantify the benefits of natural hedging for a range of different types of life insurance product designs and risk measures based on probability of insurer solvency.We show that level-premium life insurance products with a medium duration (around 2030 years) can better hedge annuity products than whole life products. Renewable term life insurance products have less hedge effectiveness than level-premium term insurance. Results vary with the risk measure used, with the 1- year horizon Solvency II risk measure showing lower natural hedging benefits of life insurance compared to multiple-period risk measures.

Materia / geográfico / evento: Seguro de vida Icono con lupa
Longevidad Icono con lupa
Solvencia Icono con lupa

Autores secundarios: Sherris, Michael Icono con lupa
Stevens, Rafph Icono con lupa

Otras clasificaciones: 341

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

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