Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications

Wills, Samuel; Sherris, Michael

doi:10.2139/ssrn.1139724

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2013

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Cited by 4 publications

(2 citation statements)

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“…This -together with the OU choice -makes the overall mortality model flexible but still parsimonious. Empirical explorations have shown that it fits well actual per-cohort mortality (see Sherris and Wills (2008), among others).…”

Section: Demographic Riskmentioning

confidence: 78%

Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk

Luciano

Regis

2013

SSRN Journal

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This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities. It builds a classical riskreturn frontier and shows that hedging strategies -such as the transfer of longevity risk -may increase the overall risk while decreasing expected returns, thus resulting in inefficient outcomes. Once calibrated to the 2010 UK longevity and bond market, the model gives conditions under which hedging policies become inefficient.JEL Classification: G22, G32.

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Section: Demographic Riskmentioning

confidence: 78%

Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk

Luciano

Regis

2013

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Hyndman and Ullah (2007 develop a multi-factor modeling approach using functional principal components to fit demographic data. See Sherris and Wills (2008) for recent discussions.…”

Section: Introductionmentioning

confidence: 99%