政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/45788

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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 140.119/45788

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题名:	Pricing and Implementation of Longevity Bonds in Taiwan
作者:	王儷玲;楊曉文 Wang, Jennifer L.;Yang, Sharon S.
日期:	2007-07
上传时间:	2010-10-06 10:40:53 (UTC+8)
摘要:	As the population ages and the deterioration of pension funds continue, hedging longevity risk is becoming increasingly important in Taiwan. This article analyzes the potential market for issuing longevity bonds to hedge against the longevity risk in Taiwan. Many recent studies have suggested that longevity bond can serve as an effective risk management tool to mitigate the longevity risks. Following the design of the longevity bond proposed by Denuit, Devolder and Godernaiaux (2007), we make an illustration of pricing longevity bond using Lee-Carter model on the basis of the mortality experience in Taiwan. Our results show that the risk premium for issuing a longevity bond in Taiwan is lower than that in the United State. However, in order to measure the longevity risk more precisely and to overcome the potential problems of issuing longevity bonds in Taiwan, the quality of mortality data should be improved and more regulations need to be amended in the near future.
關聯:	Asia Pacific Journal of Risk and Insurance, 3(1), 155-171
数据类型:	article
DOI 連結:	http://dx.doi.org/10.2202/2153-3792.1034
DOI:	10.2202/2153-3792.1034
显示于类别:	[風險管理與保險學系] 期刊論文

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档案	描述	大小	格式	浏览次数
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