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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 140.119/45711

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/45711

Title:	An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach
Authors:	王儷玲;黃泓智;楊曉文;蔡子皓 Wang, Jennifer L.;Huang, H.C.;Yang, Sharon S.;Tsai, Jeffrey T.
Contributors:	風管系
Date:	2010-06
Issue Date:	2010-10-06 10:39:31 (UTC+8)
Abstract:	This article investigates the natural hedging strategy to deal with longevity risks for life insurance companies. We propose an immunization model that incorporates a stochastic mortality dynamic to calculate the optimal life insurance–annuity product mix ratio to hedge against longevity risks. We model the dynamic of the changes in future mortality using the well-known Lee–Carter model and discuss the model risk issue by comparing the results between the Lee–Carter and Cairns–Blake–Dowd models. On the basis of the mortality experience and insurance products in the United States, we demonstrate that the proposed model can lead to an optimal product mix and effectively reduce longevity risks for life insurance companies.
Relation:	Journal of Risk and Insurance, 77(2), 473-497
Data Type:	article
Appears in Collections:	[風險管理與保險學系] 期刊論文

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