tabakova.danielayordanova@spes.uniud.it

DEAMS - UNITS

(Supervisor Gianni Bosi)

 Immunization and mortality/longevity risk

The aim of immunization theory at her birth was to protect the value of a portfolio against possible changes of interest rates. Since the premium and reserves of a life insurance or annuity policy are also affected by interest rates, in recent years several authors presented duration/convexity matching strategies for mortality immunization. In particular, techniques incorporating both mortality and
interest rate risk were developed, and several strategies were proposed, which provide protection against changes concerning the forces of mortality, the one-year survival probabilities and the one-year death probabilities The aim of this thesis is to unify sparse results in the literature and to approach the general problem of immunization by both a theoretical and applicative point of view. Mortality immunization for portfolios of different products will be considered. The possibility of transferring mortality/longevity risks of a portfolio of annuity exposures to a financial intermediary will be studied.