By hedging longevity exposures, annuity providers can reduce both the uncertainty in future cash flows and capital charges in a cost efficient manner. We argue that a separate analysis of these two aspects cannot provide a full picture of the implications of longevity hedging, in particular when using index-based instruments.

Hence, we propose a stochastic modeling framework for a joint analysis of the risk-reducing effect and the economic impact of longevity hedges in terms of hedge effectiveness and capital efficiency, respectively. In an economic capital model under Solvency II, a wide selection of customized and index-based instruments is analyzed. We show that different hedging objectives require different instruments on different index populations and discuss the accompanying trade-off between hedge effectiveness and capital efficiency. While customized hedges naturally outperform their index-based counterparts in terms of hedge effectiveness, we show that cost efficient index-based designs may be more capital efficient.

通过对冲长寿风险敞口，年金提供者可以以经济高效的方式减少未来现金流量的不确定性和资本支出。我们认为，对这两个方面的单独分析无法提供长寿套期保值含义的完整信息，尤其是在使用基于索引的工具时。

因此，我们提出了一种随机建模框架，用于分别从对冲有效性和资本效率方面对长寿对冲的降低风险的影响和经济影响进行联合分析。在偿付能力标准II下的经济资本模型中，分析了各种各样的定制和基于索引的工具。我们表明，不同的对冲目标需要针对不同的指标群体使用不同的工具，并讨论了对冲有效性与资本效率之间的权衡取舍。尽管在套期保值方面，定制对冲自然胜过其基于指数的对冲，但我们证明，具有成本效益的基于指数的设计可能更具资本效率。