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- W3021305677 abstract "Abstract Mortality volatility is crucially important to many aspects of index-based longevity hedging, including instrument pricing, hedge calibration and hedge performance evaluation. This paper sets out to develop a deeper understanding of mortality volatility and its implications on index-based longevity hedging. First, we study the potential asymmetry in mortality volatility by considering a wide range of generalised autoregressive conditional heteroskedasticity (GARCH)-type models that permit the volatility of mortality improvement to respond differently to positive and negative mortality shocks. We then investigate how the asymmetry of mortality volatility may impact index-based longevity hedging solutions by developing an extended longevity Greeks framework, which encompasses longevity Greeks for a wider range of GARCH-type models, an improved version of longevity vega, and a new longevity Greek known as “dynamic Delta”. Our theoretical work is complemented by two real-data illustrations, the results of which suggest that the effectiveness of an index-based longevity hedge could be significantly impaired if the asymmetry in mortality volatility is not taken into account when the hedge is calibrated." @default.
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- W3021305677 date "2020-05-05" @default.
- W3021305677 modified "2023-09-23" @default.
- W3021305677 title "Asymmetry in mortality volatility and its implications on index-based longevity hedging" @default.
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- W3021305677 doi "https://doi.org/10.1017/s174849952000010x" @default.
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