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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 140.119/129504

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129504

Title:	Mortality Risk Management under the Factor Copula Framework - with Applications to Insurance Policy Pools
Authors:	謝明華 Ming-Hua Hsieh Tsai, Jason C. Wang, Jennifer L.
Contributors:	風管系
Date:	2019-01
Issue Date:	2020-04-27 15:59:28 (UTC+8)
Abstract:	Mortality risk is one of the core risks that life insurers undertake. The uncertain future lifetime of each insured represents one risk factor, and the dependence structure among these risk factors determines the aggregate risk of an insurance policy pool. We propose using factor copulas to describe the dependence structure among the future lifetimes of numerous insureds. This differs from Chen, MacMinn, and Sun (2015) in that their focus is on pricing the securities linked to several mortality indexes. To mitigate the systematic mortality risk associated with an insurance pool, the insurer may purchase an asset exposed to similar systematic risk. We thus set up a two-factor copula framework and solve for the optimal investment amount in the asset. In numerical illustrations, we employ real-case data from a life insurer and a life settlement market maker involving hundreds of policies.
Relation:	North American Actuarial Journal
Data Type:	article
DOI 連結:	https://doi.org/10.1080/10920277.2019.1653201
DOI:	10.1080/10920277.2019.1653201
Appears in Collections:	[風險管理與保險學系] 期刊論文

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