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**Mortality-dependent financial risk measures.**
*(English)*
Zbl 1168.91411

Summary: This paper uses a recently developed two-factor stochastic mortality model to estimate financial risk measures for four illustrative types of mortality-dependent financial position: investments in zero-coupon longevity bonds; investments in longevity bonds that pay annual survivor-dependent coupons; and two examples of an insurer’s annuity book that are each hedged by a longevity bond, one based on the annuity book and hedge having the same reference cohort, and the other not. The risk measures estimated are the value-at-risk, the expected shortfall and a spectral risk measure based on an exponential risk-aversion function. Results are reported on a model calibrated on data provided by the UK Government Actuary’s Department, both with and without underlying parameter uncertainty.

### MSC:

91B30 | Risk theory, insurance (MSC2010) |

91B82 | Statistical methods; economic indices and measures |

91B28 | Finance etc. (MSC2000) |

62P05 | Applications of statistics to actuarial sciences and financial mathematics |

### Keywords:

mortality risk; longevity bonds; value-at-risk; coherent risk measures; spectral risk measures### Software:

Dowd
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\textit{K. Dowd} et al., Insur. Math. Econ. 38, No. 3, 427--440 (2006; Zbl 1168.91411)

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### References:

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This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.