政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119642

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113311/144292 (79%)
Visitors : 50924512 Online Users : 914

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/119642

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/119642

Title:	Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Risks
Authors:	楊曉文 Yang, Sharon S. 黃泓智 Huang, Hong-Chih Jung, Jin-Kuo
Contributors:	風管系
Date:	2017-12
Issue Date:	2018-08-27 17:02:32 (UTC+8)
Abstract:	This article studies the optimal hedging strategy to deal with longevity risk for the life insurer considering basis risk. We build up a longevity hedging framework that incorporates not only the internal natural hedging but also the external hedging by using the q‐forwards. The optimal hedging strategy is obtained by a minimizing‐variance approach that can minimize the impact of longevity risk on the insurer`s profit function. To investigate the basis risk, instead of using population mortality, we adopt a unique mortality data set of annuity and life insurance policies that enable us to calibrate the multi‐population mortality dynamics for different lines of insurance policies. We consider three different hedging strategies: the natural hedging strategy, the external hedging strategy, and combining both natural hedging, and external hedging strategies. The hedge effectiveness for different hedging strategies is evaluated. In addition, the mortality forecast model based on VECM and ARIMA are used to examine the impact of basis risk on hedge effectiveness. As a result, combining both internal and external hedging strategies is the most effective way to manage longevity risk. Ignoring the basis risk will decrease the hedge effectiveness.
Relation:	Journal of Risk and Insurance, (SSCI)(國科會財務領域保險精算A Tier1級期刊),
Data Type:	article
DOI 連結:	https://doi.org/10.1111/jori.12238
DOI:	10.1111/jori.12238
Appears in Collections:	[風險管理與保險學系] 期刊論文

Files in This Item:

File	Description	Size	Format
12238.pdf		1018Kb	Adobe PDF2	549	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...