Mortality Portfolio Risk Management | Zendy

Cox Samuel H. | Zendy; Lin Yijia | Zendy; Tian Ruilin | Zendy; Zuluaga Luis F. | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Premium

Mortality Portfolio Risk Management

Author(s) -

Cox Samuel H.,

Lin Yijia,

Tian Ruilin,

Zuluaga Luis F.

Publication year - 2013

Publication title -

journal of risk and insurance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.055

H-Index - 63

eISSN - 1539-6975

pISSN - 0022-4367

DOI - 10.1111/j.1539-6975.2012.01469.x

Subject(s) - cvar , downside risk , portfolio , actuarial science , diversification (marketing strategy) , risk management , variance (accounting) , economics , life insurance , econometrics , expected shortfall , business , financial economics , finance , accounting , marketing

A BSTRACT We provide a new method, the “MV+CVaR approach,” for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the mean–variance trade‐off of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of moments and the maximum entropy method to analyze the efficiency of MV+CVaR mortality portfolios relative to traditional Markowitz mean–variance portfolios. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.

This content is not available in your region!

Continue researching here.

Having issues? You can contact us here

Accelerating Research