青年经济学者论坛
第 20 期
报告主题
Robust Longevity Risk Management
报告人：李 泓 博士
Ph.D. in Econometrics & Operations Research,
CentER Graduate School, Tilburg University.
主持人：李 剑 讲师
南京大学经济学院国际经济与贸易系
时 间：2014年5月28日（周三）10:00
地 点：安中楼312
南京大学经济学院
ABSTRACT:
We consider an annuity provider aiming to hedge its longevity risk using
mortality-linked derivatives, such as survivor swaps. In particular, the
annuity provider does not know the actual probability law governing the
mortality dynamics in its portfolio, but instead considers a set of possible
probability laws and optimizes its portfolio choice with respect to the
worst-case scenario. We study the mean-variance and the conditional-value-
at-risk formulations, and derive the tractable robust optimization problems.
The set of possible probability laws considered by the insurer is statisti-
cally given by the Kullback-Leibler divergence. We apply the robust optimi-
zation problem to Dutch male mortality data and compare its performance with
optimization problems where the estimated probability law is assumed to be
the true one. The robust optimization turns out to be superior as it yields
better values of the objective functions and is more robust to the misspeci-
fication of the probability law.
KEYWORDS: robust optimization, Kullback-Leibler divergence, mean-variance,
conditional-value-at-risk
