Mortality Portfolio Risk Management

@inproceedings{Cox2009MortalityPR,
  title={Mortality Portfolio Risk Management},
  author={Samuel H. Cox and Yijia Lin and Ruilin Tian and Luis Fernando Zuluaga},
  year={2009}
}
In this paper, we offer a new method of managing the risk of unexpected changes in mortality underlying annuities and life insurance. This method maximizes the insurer’s profit margin, subject to constraints on its downside mortality risk. We also show how to determine bounds on mortality margins when information on the moments of the distributions is known… CONTINUE READING