Natural Hedging of Life and Annuity Mortality Risks

By Samuel H. Cox, Yijia Lin. 2007

213 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/322e84ab53649da2f03952af2fb1466cb232d229

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Citations in the corpus

Mortality Risk Modeling: Applications to Insurance Securitization (2010, unknown): “(2006), Cox and Lin (2007) and Lin and Cox (2008). Genetic analysis has confirmed that the virus of “Spanish flu” which killed 40 to 100 million people in 1918 developed in birds and was similar to today’s “bird flu” (Juckett 2006). Some public health experts think that a pandemic is overdue and ano”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Insurers and reinsurers are supplementing the traditional risk warehousing function with risk intermediation, which enables them to operate more efficiently and increases their underwriting capacities (Cowley and Cummins, 2005; Cox and Lin, 2007; Froot, 2001).”
Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “By segregating its cash flows linked to extreme mortality risk, an insurance firm is able to repackage them into securities that are traded in capital markets (Blake and Burrows, 2001; Lin and Cox, 2005; Cox and Lin, 2007).”
Understanding, modelling and managing longevity risk: key issues and main challenges (2012, background): “However, as highlighted by Cox and Lin (2007), this natural hedge is only partial.”
An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach (2009, unknown): “Cox and Lin (2007) show that insurers that utilize natural hedging can charge a lower risk premium, which may increase their market share.”
On the pricing of longevity-linked securities (2010, background): “This idea of compensating longevity risk by mortality risk is often referred to as natural hedging (see, e.g., Bayraktar and Young (2007), Cox and Lin (2004) ,”
Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006, unknown): “16 A LS is a swap involving an exchange of one or more payments over a set term, at least one leg of which is linked to the realized value of a survivor index (Cox and Lin, 2004; Lin and Cox, 2005; or Dowd et al., 2006b).”
The New Life Market (2013, unknown): “37 See also Cowley and Cummins (2005), Lin and Cox (2005), Dahl (2004), Cairns et al.(2006a), Cox and Lin (2007), Biffis and Blake (2010a), Cox et al. (2010), Wills and Sherris (2010), Kim and Choi (2011), Huang et al. (2011) and Yang (2011). an especially attractive option when the company is…”
A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration (2006, unknown): “However, natural hedging (Cox and Lin, 2004) can only succeed at the global level (encompassing life insurers and annuity providers) if this aggregate exposure is close to zero.”
Mortality-Indexed Annuities Managing Longevity Risk Via Product Design (2011, background): “Although often proposed, natural hedging, that is, a balancing of exposures to mortality (life insurance) and longevity risk (life annuities) (see, e.g., Cox and Lin 2007), seems at least limited due to many potential drawbacks.”
Mortality-dependent financial risk measures (2006, methodology): “Mortality swaps were suggested by Lin and Cox (2004) and Dowd et al. (2006).”
Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006, background): “7.7.2 As Cox & Lin (2004) explain, a mortality swap can also be used to help firms which run both annuity and life books to manage the natural hedges implicit in their positions.”