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• W4386002334 abstract "Longevity risk has recently become a high profile risk among insurers and pension plan sponsors. One way to mitigate longevity risk is to build a hedge using derivatives that are linked to mortality indexes. Longevity hedging methods are often based on the normality assumption, considering only the variance but no other (higher) moments. However, strong empirical evidence suggests that mortality improvement rates are driven by asymmetric and fat-tailed distributions, so that existing longevity hedging methods should be expanded to incorporate higher moments. This paper fills the gap by adopting a mean-variance-skewness-kurtosis approach based on non-Gaussian extensions of commonly-used stochastic mortality models, formulated in a state-space setting. On the basis of a general representation of these models, the authors derive (approximate) analytical expressions for the moments of the present values of the hedging instruments and the liability being hedged. These expressions are then integrated with a polynomial goal programming model, from which the optimal hedge portfolio is identified. Finally, the paper demonstrates the theoretical results with a real mortality data set and a range of hedger preferences." @default.
• W4386002334 created "2023-08-20" @default.
• W4386002334 creator A5005564844 @default.
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• W4386002334 date "2023-11-01" @default.
• W4386002334 modified "2023-10-12" @default.
• W4386002334 title "Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach" @default.
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• W4386002334 doi "https://doi.org/10.1016/j.insmatheco.2023.08.001" @default.
• W4386002334 hasPublicationYear "2023" @default.
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