Gatzert N, Wesker H (2011)
Publication Language: English
Publication Type: Journal article
Publication year: 2011
Publisher: Springer Verlag
Book Volume: 100
Pages Range: 695-706
Journal Issue: 5
DOI: 10.1007/s12297-011-0160-4
In recent years, the rising life expectancy in almost all industrialized countries has led to an increasing demand by life insurers for possibilities to hedge longevity risk. Two of the most prominent alternative risk management instruments in this regard are the transfer of longevity risk to the capital market, e.g. through the purchase of mortality contingent bonds, and natural hedging, i.e. hedging longevity risk through portfolio composition. In this paper, we study the effectiveness of these risk management instruments under adverse selection, which here refers to the difference between annuitant mortality and the mortality of the population as a whole. Special emphasis is thereby placed on analyzing the impact of policyholders' age at contract inception and contract duration on the effectiveness of risk management.
APA:
Gatzert, N., & Wesker, H. (2011). Managing longevity risk under adverse selection: the influence of policyholder age and contract duration. Zeitschrift für die gesamte Versicherungswissenschaft, 100(5), 695-706. https://dx.doi.org/10.1007/s12297-011-0160-4
MLA:
Gatzert, Nadine, and Hannah Wesker. "Managing longevity risk under adverse selection: the influence of policyholder age and contract duration." Zeitschrift für die gesamte Versicherungswissenschaft 100.5 (2011): 695-706.
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