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Accession #: rp221078

 

Publication Date:
July 02, 2021
Title:
Research paper: Hedging longevity risk in the Canadian market
Other Details:
16 pages.
Author:
Alain Bélanger, Sullivan Giannini and Christian Robert (FCIA)
Description:
We present some of the results developed in the thesis of Giannini (2020), where an extensive study is performed on the effectiveness of several mortality/longevity-linked financial derivatives in hedging annuity portfolios’ longevity risk. We will not treat cashflow hedges like survivor swaps and caps but rather will focus on the value hedges provided by mortality (q-) forwards and puts and Kappa (K-) forwards and puts. We will apply the key q-hedging framework of the seminal paper of Li and Luo (2012) and the key K-hedging outlined in the articles of Chan et al. (2014), Tan et al. (2014) and Li et al. (2019). We will restrict ourselves to static hedging, but our annuity portfolios will be composed of multiple cohorts from the Canadian population. The K-instruments mentioned above are based on the two time-varying indexes of the model proposed by Cairns et al. (2006) and known familiarly as M5.

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