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    题名: 長壽風險下商品間自然避險策略之探討
    A Discussion on the Natural Hedging Strategy in different policies under Longevity Risk
    作者: 蔡宛臻
    Tsai, Wan Chen
    贡献者: 黃泓智
    Huang, Hong Chih
    蔡宛臻
    Tsai, Wan Chen
    关键词: 長壽風險
    自然避險
    商品間避險
    Longevity risk
    Natural hedging
    日期: 2016
    上传时间: 2016-09-01 23:58:07 (UTC+8)
    摘要: 本研究透過不同年齡與性別之保戶之壽險商品與年金商品保費淨值比例來做商品間自然避險策略，避免以往只能配適特定年齡商品間自然避險策略的限制，使保險公司能夠對於公司內不同年齡與性別之壽險商品與年金商品投資組合進行避險策略，並藉由壽險商品和年金商品的淨值保費比例來求出最適壽險與年金商品權重來配置商品組合。且使用臺灣實務資料以建構年金商品與壽險商品各自的死亡率模型進行商品間自然避險策略，並觀察在不同生命表限制下，商品間自然避險之最適權重的變化，供未來保險公司決策者在決定如何配置公司內商品間自然避險策略時，可有一量化之參考依據。
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    Coughlan, Guy D., et al. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness." North American Actuarial Journal 15.2 (2011): 150-176.
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    Fabozzi, Frank J. Duration, Convexity, and Other Bond Risk Measures. Vol. 58. John Wiley & Sons, 1999.Fong, Joelle HY, Olivia S. Mitchell, and Benedict SK Koh. "Longevity Risk Management in Singapore`s National Pension System." Journal of Risk and Insurance 78.4 (2011): 961-982.
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    Wang, Jennifer L., et al. "An optimal product mix for hedging longevity risk in life insurance companies: The immunization theory approach." Journal of Risk and Insurance 77.2 (2010): 473-497.
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    王信忠、余清祥(2015) ，高齡死亡率模型的探討， 2015財務工程與精算科學研討會暨碩士研究生論壇。
    黃見桐(2015)。考慮族群間共同改善趨勢效果下之死亡率模型建構。國立政治大學風險管理與保險研究所碩士論文。
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    103358028
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103358028
    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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