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11.01.2020 | Focus

De-risking long-term care insurance

verfasst von: Valeria D’Amato, Susanna Levantesi, Massimiliano Menzietti

Erschienen in: Soft Computing | Ausgabe 12/2020

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Abstract

In this paper, we propose a de-risking strategy model for LTC insurers facing with longevity and disability risks, by constructing hedge positions with vanilla disability swaps and options. We rely on long-term care insurance in a multiple state framework. The optimal hedge level for each de-risking strategies is computed, respectively, by minimizing the total cost of the de-risking strategy under the Conditional Value-at-Risk (CVaR) constraint on the total unfunded liabilities and minimizing the CVaR under a total cost constraint. A numerical application is performed, and the results suggest that a de-risking strategy based on disability derivatives can be a viable solution to reduce the portfolio riskiness of LTC insurers.

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Titel: De-risking long-term care insurance
verfasst von: Valeria D’Amato
Susanna Levantesi
Massimiliano Menzietti
Publikationsdatum: 11.01.2020
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 12/2020
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-019-04658-0

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