Mortality Portfolio Risk Management
نویسندگان
چکیده
In this paper, we offer a new method of managing the risk of unexpected changes in mortality underlying annuities and life insurance. This method maximizes the insurer’s profit margin, subject to constraints on its downside mortality risk. We also show how to determine bounds on mortality margins when information on the moments of the distributions is known. We provide numerical examples to illustrate how to apply these methods and to use them to take advantage of natural hedging effects of annuity and life insurance mortality.
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