Luciano, Elisa; Regis, Luca; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2012
The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk. We present an application to UK data on survivorship and...