SYSTEM AND METHOD FOR A RISK MANAGEMENT FRAMEWORK FOR HEDGING MORTALITY RISK IN PORTFOLIOS HAVING MORTALITY- BASED EXPOSURE
摘要
<p>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.</p>
申请公布号
WO2008097420(A2)
申请公布日期
2008.08.14
申请号
WO2008US00599
申请日期
2008.01.17
申请人
JPMORGAN CHASE BANK, N.A.;COUGHLAN, GUY, D.;EPSTEIN, DAVID;ONG, ALEN SEN, KAY;HALL, ROBERT, JAMES
发明人
COUGHLAN, GUY, D.;EPSTEIN, DAVID;ONG, ALEN SEN, KAY;HALL, ROBERT, JAMES