On the mortality/longevity risk hedging with mortality immunization

摘要: Abstract In this paper, we define the mortality durations and convexities of prices life insurance annuity products with respect to an instantaneously proportional change parallel shift, respectively, in μ s (the forces mortality), p one-year survival probabilities) q death probabilities), further derive them as magnitude-free closed-form formulas. Then propose several duration/convexity matching strategies determine weights two or three portfolio. With stochastic models, evaluate Value-at-Risk (VaR) values hedge effectiveness surpluses at time zero for underlying portfolio these strategies. Illustrated numerical examples demonstrate that can significantly mortality/longevity risks.