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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 140.119/75257

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75257

Title:	Does mortality improvement increase equity risk premiums? A risk perception perspective
Authors:	Huang, Rachel J.;Miao, J.C.Y.;Tzeng, L.Y. 黃瑞卿;曾郁仁
Contributors:	風險與保險研究中心
Keywords:	Demography;Equity risk premium;Mortality risk;Risk perception
Date:	2013-06
Issue Date:	2015-05-21 16:56:52 (UTC+8)
Abstract:	Using data for G7 countries over the period from 1950 to 2007, this paper finds that an unexpected shock to the mortality rate is significantly negatively correlated with the equity premium. A one basis point unexpected negative shock to the mortality rate increases both the one-year and five-year equity premiums by 0.54% and 1.66%, respectively. We also demonstrate how financial institutions could use our findings to hedge the risk of mortality-linked securities. © 2013 Elsevier B.V.
Relation:	Journal of Empirical Finance, 22, 67-77
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jempfin.2013.03.002
DOI:	10.1016/j.jempfin.2013.03.002
Appears in Collections:	[風險管理與保險學系] 期刊論文

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