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- W2997613370 abstract "Abstract In this paper, we first derive closed-form formulas for mortality-interest durations and convexities of the prices of life insurance and annuity products with respect to an instantaneously proportional change and an instantaneously parallel movement, respectively, in μ * (the force of mortality-interest), the addition of μ (the force of mortality) and δ (the force of interest). We then build several mortality-interest duration and convexity matching strategies to determine the weights of whole life insurance and deferred whole life annuity products in a portfolio and evaluate the value at risk and the hedge effectiveness of the weighted portfolio surplus at time zero. Numerical illustrations show that using the mortality-interest duration and convexity matching strategies with respect to an instantaneously proportional change in μ * can more effectively hedge the longevity risk and interest rate risk embedded in the deferred whole life annuity products than using the mortality-only duration and convexity matching strategies with respect to an instantaneously proportional shift or an instantaneously constant movement in μ only." @default.
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- W2997613370 date "2020-01-01" @default.
- W2997613370 modified "2023-10-03" @default.
- W2997613370 title "NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES" @default.
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- W2997613370 doi "https://doi.org/10.1017/asb.2019.38" @default.
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