Gupta, Aparna; Wang, Haiyuan - In: International Journal of Banking, Accounting and Finance 3 (2011) 1, pp. 47-72
In this article, we address the problem of developing a hedging strategy for managing a portfolio of longevity risk-sensitive products, such as annuities, term life insurance, using a shareholder value maximisation framework from a provider's perspective. An annuity provider extends a portfolio...