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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/45711

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題名:	An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach
作者:	王儷玲;黃泓智;楊曉文;蔡子皓 Wang, Jennifer L.;Huang, H.C.;Yang, Sharon S.;Tsai, Jeffrey T.
貢獻者:	風管系
日期:	2010-06
上傳時間:	2010-10-06 10:39:31 (UTC+8)
摘要:	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, 77(2), 473-497
資料類型:	article
顯示於類別:	[風險管理與保險學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
473497.pdf		414Kb	Adobe PDF2	1581	檢視/開啟

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