文章基本信息

标题：Robust Hedging of Longevity Risk
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作者：Andrew J.G. Cairns
期刊名称：Discussion Paper / The Pensions Institute
印刷版ISSN：1367-580X
出版年度：2012
卷号：2012
出版社：Pensions Institute
摘要：We consider situations where a pension plan has opted to hedge its longevity risk using an index-based longevity hedging instrument such as a q-forward or deferred longevity swap. The use of index-based hedges gives rise to basis risk, but ben- ets, potentially, from lower costs to the hedger and greater liquidity. We focus on quantication of optimal hedge ratios and hedge effectiveness and investigate how robust these quantities are relative to inclusion of recalibration risk, parame- ter uncertainty and Poisson risk. We nd that strategies are robust relative to the inclusion of parameter uncertainty and Poisson risk. In contrast, single-instrument hedging strategies are found to lack robustness relative to the inclusion of recali- bration risk at the future valuation date, although we also demonstrate that some hedging instruments are more robust than others. To address this problem, we de- velop multi-instrument hedging strategies that are robust relative to recalibration risk.
关键词：Robust hedging; recalibration risk; hedge ratios; hedge effectiveness;Delta hedging; Nuga hedging.