NATURAL HEDGING STRATEGIES FOR LIFE INSURERS: IMPACT OF PRODUCT DESIGN AND RISK MEASURE

被引：8

作者：

Wong, Andy ^{[1
]}

Sherris, Michael ^{[1
]}

Stevens, Ralph ^{[1
]}

机构：

[1] Univ New South Wales, UNSW Business Sch, CEPAR, Risk & Actuarial Studies, Sydney, NSW, Australia

来源：

JOURNAL OF RISK AND INSURANCE | 2017年 / 84卷 / 01期

基金：

澳大利亚研究理事会;

关键词：

LONGEVITY RISK; MORTALITY; INSURANCE; MODELS;

D O I：

10.1111/jori.12079

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Natural hedging allows life insurers to manage long-term longevity and investment risks of life annuity products through offsetting risks in life insurance products. Benefits include a reduction in risk-based capital. We use stochastic mortality and interest rate models to assess life insurance and annuity capital requirements and to quantify the benefits of natural hedging for a range of different types of life insurance product designs and risk measures based on probability of insurer solvency. We show that level-premium life insurance products with a medium duration (around 20-30 years) can better hedge annuity products than whole life products. Renewable term life insurance products have less hedge effectiveness than level-premium term insurance. Results vary with the risk measure used, with the 1-year horizon Solvency II risk measure showing lower natural hedging benefits of life insurance compared to multiple-period risk measures.

引用

页码：153 / 175

页数：23

共 21 条

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