Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077600 | Insurance: Mathematics and Economics | 2006 | 14 Pages |
Abstract
This paper uses a recently developed two-factor stochastic mortality model to estimate financial risk measures for four illustrative types of mortality-dependent financial position: investments in zero-coupon longevity bonds; investments in longevity bonds that pay annual survivor-dependent coupons; and two examples of an insurer's annuity book that are each hedged by a longevity bond, one based on the annuity book and hedge having the same reference cohort, and the other not. The risk measures estimated are the value-at-risk, the expected shortfall and a spectral risk measure based on an exponential risk-aversion function. Results are reported on a model calibrated on data provided by the UK Government Actuary's Department, both with and without underlying parameter uncertainty.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kevin Dowd, Andrew J.G. Cairns, David Blake,