The paper presents closed-form Delta and Gamma hedges for an- nuities and death assurances, in the presence of both longevity and interest-rate risk. Longevity risk is modelled through an extension of the classical Gompertz law, while interest rate risk is modelled via an Hull-and-White process....

This paper studies the hedging problem of life insurance policies, when the mortality and interest rates are stochastic. We focus primar- ily on stochastic mortality. We represent death arrival as the rst jump time of a doubly stochastic process, i.e. a jump process with stochastic intensity. We...

The paper illustrates the efficiency features of the Italian banking system through a review of the most important empirical studies over the last fifteen years. Particular emphasis is given to DEA (dynamic envelopment analysis) studies and to their capability to investigate economies of scale...

Longevity risk transfer is a popular choice for annuity providers such as pension funds. This paper formalizes the trade-off between the cost and the risk relief of such choice, when the annuity provider uses value- at-risk to assess risk. Using first-order approximations we show that, if the...

In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x. These processes have been widely used in the credit risk literature in modelling the default arrival, and in this context have proved...

In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x. These processes have been widely used in the credit risk literature in modelling the default arrival, and in this context have proved...

In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible,...

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...

One of the major concerns of life insurers and pension funds is the increasing longevity of their beneficiaries. This paper studies the hedging problem of annuity cash flows when mortality and interest rates are stochastic. We first propose a Delta–Gamma hedging technique for mortality risk....