System and method for a risk management framework for hedging mortality risk in portfolios having mortality-based exposure
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United States of America Patent
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Nov 23, 2010
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N/A
app pub date -
Mar 2, 2007
filing date -
Feb 5, 2007
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Abstract
The invention comprises a system and method for hedging or mitigating mortality exposure risk in a portfolio of mortality-dependent instruments. A mortality risk or longevity risk of the portfolio is calculated or otherwise determined. Then the sensitivity of the portfolio to mortality risk or longevity risk is calculated or otherwise determined, in other words, how much is cost or value of the portfolio affected by a change in mortality rate. To account for that mortality exposure, a selection is made of building block mortality derivatives that include age-based mortality derivatives. The selected plurality of building block mortality derivatives are used to create a hedge against the mortality risk or longevity risk of the portfolio.
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