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    题名: 保險公司因應死亡率風險之避險策略
    Hedging strategy against mortality risk for insurance company
    作者: 莊晉國
    Chuang, Chin Kuo
    贡献者: 黃泓智
    楊曉文
    莊晉國
    Chuang, Chin Kuo
    关键词: 死亡率風險
    Lee Carter model
    CIR model
    Maximum Entropy principle
    Value at risk
    Conditional tail expectation
    Karush-Kuhn-Tucker
    Mortality risk
    Lee Carter model
    CIR model
    Maximum Entropy principle
    Value at risk
    Conditional tail expectation
    Karush-Kuhn-Tucker
    日期: 2011
    上传时间: 2012-10-30 11:24:37 (UTC+8)
    摘要: 本篇論文主要討論在死亡率改善不確定性之下的避險策略。當保險公司負債面的人壽保單是比年金商品來得多的時候，公司會處於死亡率的風險之下。我們假設死亡率和利率都是隨機的情況，部分的死亡率風險可以經由自然避險而消除，而剩下的死亡率風險和利率風險則由零息債券和保單貼現商品來達到最適避險效果。我們考慮mean variance、VaR和CTE當成目標函數時的避險策略，其中在mean variance的最適避險策略可以導出公式解。由數值結果我們可以得知保單貼現的確是死亡率風險的有效避險工具。
    This paper proposes hedging strategies to deal with the uncertainty of mortality improvement. When insurance company has more life insurance contracts than annuities in the liability, it will be under the exposure of mortality risk. We assume both mortality and interest rate risk are stochastic. Part of mortality risk is eliminated by natural hedging and the remaining mortality risk and interest rate risk will be optimally hedged by zero coupon bond and life settlement contract. We consider the hedging strategies with objective functions of mean variance, value at risk and conditional tail expectation. The closed-form optimal hedging formula for mean variance assumption is derived, and the numerical result show the life settlement is indeed a effective hedging instrument against mortality risk.
    參考文獻: Blake, D., and Burrows, W., 2001. “Survivor Bonds: Helping to Hedge Mortality Risk”, Journal of Risk and Insurance 68: 339-348.
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    Dowd, K., Blake, D., Cairns, A. J. G., and Dawson, P., 2006. “Survivor Swaps”, Journal of Risk & Insurance 73: 1-17.
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    American Statistical Association 87, 659_675.
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    Value-at-Risk. S. Uryasev, ed. Probabilistic Constrained Optimization
    Methodology and Applications. Kluwer, Dordrecht, The Netherlands, 272–281.
    Trindade, A. A., S. Uryasev, A. Shapiro, and G. Zrazhevsky, 2007. Financial
    Prediction with Constrained Tail Risk. Journal of Banking and Finance 31 3524–
    3538.
    Tsai, J.T., J.L. Wang, and L.Y. Tzeng, 2010. On the optimal product mix in life insurance companies using conditional Value at Risk, Insurance: Mathematics and Economics, 46, 235-241.
    Wang, J.L., H.C. Huang, S.S. Yang, J.T. Tsai, 2010. An optimal product mix
    for hedging longevity risk in life insurance companies: The immunization theory
    approach, The Journal of Risk and Insurance, Vol. 77, No. 2, 473-497.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    99358007
    100
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0099358007
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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