政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/112302

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51718919 Online Users : 652

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/112302

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112302

Title:	Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations
Authors:	MacMinn, Richard D. Zhu, Nan
Contributors:	風險與保險研究中心
Keywords:	Annuity;Biomedical;Firm;Hedging;Insurance;Mortality;Pension;Securities
Date:	2017-04
Issue Date:	2017-08-30 15:28:23 (UTC+8)
Abstract:	In the life settlement market, mortality risk is transferred from life insurance policyholders to third-party life settlement firms. This risk transfer occurs in conjunction with an information transfer that is relevant not only for pricing, but also for risk management. In this analysis, we compare the efficiency of two different hedging instruments in managing the mortality risk of the life settlement firm. First, we claim and then demonstrate that conventional longevity-linked securities do not perform as effectively in the secondary life market, that is, life settlement market, as in the annuity and pension markets due to the basis risk that exists between the general population and the life settlement subgroup. Second, we show that the unique risk exposure of the life settlement firm can be specifically targeted using a new instrument--the biomedical research-backed obligations. Our finding connects two seemingly independent markets and can promote the healthy development of both.
Relation:	Journal of Risk and Insurance, Special Edition, Vol. 84, pp. 439-458
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/jori.12200
DOI:	10.1111/jori.12200
Appears in Collections:	[風險管理與保險學系] 期刊論文

Files in This Item:

File	Description	Size	Format
5.pdf		186Kb	Adobe PDF2	466	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...