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dc.contributor.authorDEĞİRMENCİ , Selin
dc.contributor.authorŞAHİN, Şule
dc.date.accessioned2017-01-27T08:00:09Z
dc.date.available2017-01-27T08:00:09Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/11424/5121
dc.description.abstractThe increase in life expectancy of individuals poses a risk for insurance companies. If people live longer than anticipated, insurance companies make losses on their annuity books. The risk that survivor rates might be higher than anticipated is called the longevity risk. In this paper, a pension plan whose aim is to hedge its longevity risk with longevity hedging instrument such as vanilla swap has been considered. We find the optimal hedge ratio which is defined as the number of units held of the hedging instrument. The optimal hedge ratio is calculated under minimum variance hedging and exponential utility. For the hedge ratio we need the value of the swap. In order to price the swap, we modelled Turkish mortality by using the Lee-Carter model and the Cairns-Blake-Dowd model. We find optimal hedge ratios for female and male populations of Turkey for different mortality models and different risk criteria. The analysis showed that the hedge ratios do not change significantly for different mortality models. However, as we change the risk criteria we observe quite different optimal hedge ratios.en_US
dc.language.isoengen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectLongevity risk, hedge ratios, vanilla survivor swap, Turkey life tables.en_US
dc.titleOptimal hedge ratios for Turkish mortalityen_US
dc.typearticleen_US
dc.contributor.authorIDTR53323en_US
dc.relation.journalFinansal Araştırmalar ve Çalışmalar Dergisien_US
dc.identifier.volume8en_US
dc.identifier.issue15en_US
dc.identifier.startpage309en_US
dc.identifier.endpage323en_US


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