Wang, Jennifer L.; Huang, H.C.; Yang, Sharon S.; Tsai, … - In: Journal of Risk & Insurance 77 (2010) 2, pp. 473-497
This article investigates the natural hedging strategy to deal with longevity risks for life insurance companies. We propose an immunization model that incorporates a stochastic mortality dynamic to calculate the optimal life insurance-annuity product mix ratio to hedge against longevity risks....