Hedging Life and Pension Company Balance Sheets with Hybrid Derivatives - A Case Study of the Traffic Light Option
Journal of Insurance and Risk Management, Vol. IV, No. 3, pp. 49-59, 2009
Posted: 5 Dec 2012
Date Written: December 4, 2012
Abstract
Life and Pension companies are facing enhanced risks of market due to dynamic interest rates and unprecedented volatility in equities, jeopardizing guarantee of performance to policyholders and shareholders. Evolving statutory requirements and financial reporting standards add to the challenges for these companies. This paper highlights the utility of 'Hybrid Derivatives' and the new risk based solvency reporting system known as 'Traffic Light System' adopted by the Danish Financial Supervisory Authority as an answer to the challenges posed.
Suggested Citation: Suggested Citation
Jørgensen, Peter Løchte, Hedging Life and Pension Company Balance Sheets with Hybrid Derivatives - A Case Study of the Traffic Light Option (December 4, 2012). Journal of Insurance and Risk Management, Vol. IV, No. 3, pp. 49-59, 2009, Available at SSRN: https://ssrn.com/abstract=2184646
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