政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/129504
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 51000741      在线人数 : 914
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/129504


    题名: Mortality Risk Management under the Factor Copula Framework - with Applications to Insurance Policy Pools
    作者: 謝明華
    Ming-Hua Hsieh
    Tsai, Jason C.
    Wang, Jennifer L.
    贡献者: 風管系
    日期: 2019-01
    上传时间: 2020-04-27 15:59:28 (UTC+8)
    摘要: Mortality risk is one of the core risks that life insurers undertake. The uncertain future lifetime of each insured represents one risk factor, and the dependence structure among these risk factors determines the aggregate risk of an insurance policy pool. We propose using factor copulas to describe the dependence structure among the future lifetimes of numerous insureds. This differs from Chen, MacMinn, and Sun (2015) in that their focus is on pricing the securities linked to several mortality indexes. To mitigate the systematic mortality risk associated with an insurance pool, the insurer may purchase an asset exposed to similar systematic risk. We thus set up a two-factor copula framework and solve for the optimal investment amount in the asset. In numerical illustrations, we employ real-case data from a life insurer and a life settlement market maker involving hundreds of policies.
    關聯: North American Actuarial Journal
    数据类型: article
    DOI 連結: https://doi.org/10.1080/10920277.2019.1653201
    DOI: 10.1080/10920277.2019.1653201
    显示于类别:[風險管理與保險學系] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    144.pdf2257KbAdobe PDF2243检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈