NATURAL HEDGING OF LIFE AND ANNUITY MORTALITY RISKS

被引：124

作者：

Cox, Samuel ^{[1
]}

Lin, Yijia ^{[2
]}

机构：

[1] Univ Manitoba, Actuarial Sci, Winnipeg, MB R3T 2N2, Canada

[2] Univ Nebraska, Dept Finance, Lincoln, NE 68583 USA

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2007年 / 11卷 / 03期

关键词：

D O I：

10.1080/10920277.2007.10597464

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. We find empirical evidence that suggests that annuity writing insurers who have more balanced business in life and annuity risks also tend to charge lower premiums than otherwise similar insurers. This indicates that insurers who have a natural hedge have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging.

引用

页码：1 / 15

页数：15

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