IDEAS home Printed from https://ideas.repec.org/a/cup/anacsi/v18y2024i2p423-441_7.html
   My bibliography  Save this article

De-risking in multi-state life and health insurance

Author

Listed:
  • Levantesi, Susanna
  • Menzietti, Massimiliano
  • Nyegaard, Anna Kamille

Abstract

The calculation of life and health insurance liabilities is based on assumptions about mortality and disability rates, and insurance companies face systematic insurance risks if assumptions about these rates change. In this paper, we study how to manage systematic insurance risks in a multi-state setup by considering securities linked to the transition intensities of the model. We assume there exists a market for trading two securities linked to, for instance, mortality and disability rates, the de-risking option and the de-risking swap, and we describe the optimization problem to find the de-risking strategy that minimizes systematic insurance risks in a multi-state setup. We develop a numerical example based on the disability model, and the results imply that systematic insurance risks significantly decrease when implementing de-risking strategies.

Suggested Citation

  • Levantesi, Susanna & Menzietti, Massimiliano & Nyegaard, Anna Kamille, 2024. "De-risking in multi-state life and health insurance," Annals of Actuarial Science, Cambridge University Press, vol. 18(2), pages 423-441, July.
  • Handle: RePEc:cup:anacsi:v:18:y:2024:i:2:p:423-441_7
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1748499524000083/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:anacsi:v:18:y:2024:i:2:p:423-441_7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/aas .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.