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.


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


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