HEDGING AND IMMUNIZATION OF LONGEVITY RISK

Increasing life expectancy rates are extending the liability profiles of annuity income providers. However, the challenge of devising asset allocation strategies to fund these liabilities is complicated by a lack of appropriate assets. This thesis demonstrates portfolio management strategies to address this challenge. Estelle Liu UNSW, CIFR / CMCRC Honours Scholarship Program 2014 Keywords: Annuity, risk