An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/51677

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/51677

题名:	An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach
作者:	Wang,JL;Huang,HC;Yang,SS;Tsai,JT
贡献者:	財務金融學系
关键词:	STOCHASTIC MORTALITY;SURVIVOR BONDS;SECURITIZATION;VALUATION
日期:	2010
上传时间:	2012-03-27 19:02:36 (UTC+8)
出版者:	國立中央大學
摘要:	P>This article investigates the natural hedging strategy to deal with longevity risks for life insurance companies. We propose an immunization model that incorporates a stochastic mortality dynamic to calculate the optimal life insurance-annuity product mix ratio to hedge against longevity risks. We model the dynamic of the changes in future mortality using the well-known Lee-Carter model and discuss the model risk issue by comparing the results between the Lee-Carter and Cairns-Blake-Dowd models. On the basis of the mortality experience and insurance products in the United States, we demonstrate that the proposed model can lead to an optimal product mix and effectively reduce longevity risks for life insurance companies.
關聯:	JOURNAL OF RISK AND INSURANCE
显示于类别:	[財務金融學系] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	585	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing