In this paper, we propose a de-risking strategy model for LTC insurers facing with longevity and disability risks, by constructing hedge positions with vanilla disability swaps and options. We rely on long-term care insurance in a multiple state framework. The optimal hedge level for each de-risking strategies is computed, respectively, by minimizing the total cost of the de-risking strategy under the Conditional Value-at-Risk (CVaR) constraint on the total unfunded liabilities and minimizing the CVaR under a total cost constraint. A numerical application is performed, and the results suggest that a de-risking strategy based on disability derivatives can be a viable solution to reduce the portfolio riskiness of LTC insurers.
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Titolo: | De-risking long-term care insurance |
Autori: | MENZIETTI, Massimiliano (Corresponding) |
Data di pubblicazione: | 2020 |
Rivista: | |
Handle: | http://hdl.handle.net/20.500.11770/302396 |
Appare nelle tipologie: | 1.1 Articolo in rivista |