On the effectiveness of natural hedging for insurance companies and pension plans

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On the effectiveness of natural hedging for insurance companies and pension plans

Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life products, using the correlated Poisson Lee–Carter model, Poisson common factor...

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Bibliographic Details
Main Authors:	Li, Ka Ki Jackie, Haberman, S.
Format:	Journal Article
Published:	Elsevier BV 2015
Subjects:	Natural hedging Longevity risk Historical simulation Product-ratio model Poisson common factor model Value-at-Risk Risk reduction Poisson Lee–Carter model
Online Access:	http://hdl.handle.net/20.500.11937/35078

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