NATURAL HEDGING IN LONG-TERM CARE INSURANCE

We investigate the application of natural hedging strategies for long-term care (LTC) insurers by diversifying both longevity and disability risks affecting LTC annuities. We propose two approaches to natural hedging: one built on a multivariate duration, the other on the Conditional Value-at-Risk m...

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Veröffentlicht in:	ASTIN Bulletin : The Journal of the IAA 2018-01, Vol.48 (1), p.233-274
Hauptverfasser:	Levantesi, Susanna, Menzietti, Massimiliano
Format:	Artikel
Sprache:	eng
Schlagworte:	Actuarial science Long term care insurance Long term health care Product mixes
Online-Zugang:	Volltext
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