ABSTRACT Multi-country risk management of longevity risk provides new opportunities to hedge mortality and interest rate risks in guaranteed lifetime income streams. This requires consideration of both interest rate and mortality risks in multiple countries. For this purpose, we develop value-based longevity indexes for multiple cohorts in two different countries that take into account the major sources of risks impacting life insurance portfolios, mortality and interest rates. To construct the indexes we propose a cohort-based affine model for multi-country mortality and use an arbitrage-free multi-country Nelson–Siegel model for the dynamics of interest rates. Index-based longevity hedging strategies have the advantages of efficiency, liquidity and lower cost but introduce basis risk. Graphical risk metrics are a way to effectively capture the relationship between an insurer's portfolio and hedging strategies. We illustrate the effectiveness of using a value-based index for longevity risk management between two countries using graphical basis risk metrics. To show the impact of both interest rate and mortality risk we use Australia and the UK as domestic and foreign countries, and, to show the impact of mortality only, we use the male populations of the Netherlands and France with common interest rates and basis risk arising only from differences in mortality risks.

中文翻译：

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基于队列和价值的多国长寿风险管理

摘要 长寿风险的多国风险管理为对冲终身收入流中的死亡率和利率风险提供了新的机会。这需要同时考虑多个国家的利率和死亡风险。为此，我们为两个不同国家的多个队列开发了基于价值的长寿指数，其中考虑了影响人寿保险投资组合、死亡率和利率的主要风险来源。为了构建指数，我们提出了一个基于队列的多国死亡率仿射模型，并使用无套利的多国 Nelson-Siegel 模型来分析利率动态。基于指数的长寿对冲策略具有效率、流动性和成本较低的优势，但会引入基差风险。图形风险指标是一种有效捕捉保险公司投资组合与对冲策略之间关系的方法。我们使用基于图形的风险指标来说明在两国之间使用基于价值的长寿风险管理指标的有效性。为了显示利率和死亡率风险的影响，我们使用澳大利亚和英国作为国内和国外的国家，为了仅显示死亡率的影响，我们使用荷兰和法国的男性人口具有共同的利率和基差风险仅由死亡风险的差异引起。