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Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies

Hunt, A. and Blake, D. ORCID: 0000-0002-2453-2090 (2021). Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies. North American Actuarial Journal, 25(S1), S508-S533. doi: 10.1080/10920277.2019.1649160

Abstract

Longevity risk has emerged as an important risk in the early 21st century for the providers of pension benefits and annuities. Any changes in the assumptions for future mortality rates can have a major financial impact on the valuation of these liabilities and motivates many of the longevity-linked securities that have been proposed to hedge this risk. Using the framework developed in Hunt and Blake (2020c), we investigate how these assumptions can change over a one-year period and the potential for hedging longevity risk in an illustrative annuity portfolio and find that relatively simple hedging strategies can significantly mitigate longevity risk over a one-year period.

Publication Type: Article
Additional Information: This is an Accepted Manuscript version of the following article, accepted for publication in North American Actuarial Journal. Andrew Hunt & David Blake (2021) Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies, North American Actuarial Journal, 25:sup1, S508-S533. It is deposited under the terms of the Creative Commons Attribution-NonCommercial License (http://creativecommons.org/licenses/by-nc/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
Subjects: G Geography. Anthropology. Recreation > GN Anthropology
H Social Sciences > HF Commerce
Departments: Bayes Business School > Finance
Date available in CRO: 29 Apr 2021 14:15
Date deposited: 29 April 2021
Date of acceptance: 1 February 2020
Date of first online publication: 24 February 2020
URI: https://openaccess.city.ac.uk/id/eprint/26074
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