Resumo

ESTEBAN AGUIRRE, Marco Antonio; RODRIGUEZ-REYES, Luis Raúl  e  SIERRA-JUAREZ, Guillermo. Longevity-risk hedge with derivatives: Mortality estimation and simulations with data from Mexico. Contad. Adm [online]. 2022, vol.67, n.3, 00006.  Epub 06-Jun-2023. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2022.3290.

The objective of this article is to show the feasibility of derivative products being used to hedge longevity risk in Latin America. To do this, a longevity index is built with Mexican data using the Lee-Carter model and several longevity-linked derivatives are simulated. Results indicate that an ecosystem of derivative instruments is feasible in Mexico for two reasons: they are effective as hedging against longevity risk and the estimated longevity index, used as an underlying asset, does not correlate with relevant stock indices, which makes it feasible as part of a comprehensive financial portfolio. The originality of this research consists in the adaptation for Mexico of novel valuation methodologies and the new estimation of a longevity index. The main limitation of this research is that the ecosystem is subject to a base risk with respect to the population structure in the future

Palavras-chave : longevity; options; pensions; swaps; swaptions.