On the effectiveness of natural hedging for insurance companies and pension plans
dc.contributor.author | Li, Ka Ki Jackie | |
dc.contributor.author | Haberman, S. | |
dc.date.accessioned | 2017-01-30T13:47:32Z | |
dc.date.available | 2017-01-30T13:47:32Z | |
dc.date.created | 2015-07-14T20:00:44Z | |
dc.date.issued | 2015 | |
dc.identifier.citation | Li, K.K.J. and Haberman, S. 2015. On the effectiveness of natural hedging for insurance companies and pension plans. Insurance: Mathematics and Economics. 61: pp. 286-297. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/35078 | |
dc.identifier.doi | 10.1016/j.insmatheco.2015.01.009 | |
dc.description.abstract |
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 model, product-ratio model, and historical simulation. Our analysis is based on the mortality experience of UK assured lives, pensioners, and annuitants, and the national population of England and Wales. We consider a range of different scenarios, and find that the level of risk reduction is significant in general, with an average of around 60%. These results have important implications for those insurers, reinsurers, and pension plan sponsors who are seeking ways to hedge their unwanted risk exposures. | |
dc.publisher | Elsevier BV | |
dc.subject | Natural hedging | |
dc.subject | Longevity risk | |
dc.subject | Historical simulation | |
dc.subject | Product-ratio model | |
dc.subject | Poisson common factor model | |
dc.subject | Value-at-Risk | |
dc.subject | Risk reduction | |
dc.subject | Poisson Lee–Carter model | |
dc.title | On the effectiveness of natural hedging for insurance companies and pension plans | |
dc.type | Journal Article | |
dcterms.source.volume | 61 | |
dcterms.source.startPage | 286 | |
dcterms.source.endPage | 297 | |
dcterms.source.issn | 0167-6687 | |
dcterms.source.title | Insurance: Mathematics and Economics | |
curtin.department | Department of Mathematics and Statistics | |
curtin.accessStatus | Fulltext not available |