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題名 Using Reverse Mortages to Hedge Longevity and Financial Risks for Life Insurers: A Generalized Immunization Approach
作者 王儷玲;Hsieh, Ming-hua;Chiu, Yu-fen
貢獻者 風管系
日期 2011
上傳時間 11-Mar-2015 12:32:45 (UTC+8)
摘要 The launch of new innovative longevity-linked products, such as reverse mortgages, increases the complexity and challenges faced by insurers in implementing an asset-liability management strategy. With the house price dynamic and a large final payment received at the end of the policy year, a reverse mortgage provides a different liability duration pattern from an annuity. In this paper, we propose a generalised immunisation approach to obtain an optimal product portfolio for hedging the longevity and financial risks of life insurance companies. The proposed approach does not rely on specific assumptions regarding mortality models or interest rate models. As long as the scenarios generated by the adopted models are highly correlated, the proposed approach should be effective. By using stochastic mortality and interest rate models and the Monte Carlo simulation approach, we show that the proposed generalised immunisation approach can serve as an effective vehicle to control the aggregate risk of life insurance companies. The numerical results further demonstrate that adding the reverse mortgage to the insurers’ product portfolio creates a better hedging effect and effectively reduces the total risk associated with the surplus of the life insurers.
關聯 The Geneva Papers on Risk and Insurance,36(4),697-717
資料類型 article
DOI http://dx.doi.org/10.1057/gpp.2011.22
dc.contributor 風管系
dc.creator (作者) 王儷玲;Hsieh, Ming-hua;Chiu, Yu-fenzh_TW
dc.date (日期) 2011
dc.date.accessioned 11-Mar-2015 12:32:45 (UTC+8)-
dc.date.available 11-Mar-2015 12:32:45 (UTC+8)-
dc.date.issued (上傳時間) 11-Mar-2015 12:32:45 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73763-
dc.description.abstract (摘要) The launch of new innovative longevity-linked products, such as reverse mortgages, increases the complexity and challenges faced by insurers in implementing an asset-liability management strategy. With the house price dynamic and a large final payment received at the end of the policy year, a reverse mortgage provides a different liability duration pattern from an annuity. In this paper, we propose a generalised immunisation approach to obtain an optimal product portfolio for hedging the longevity and financial risks of life insurance companies. The proposed approach does not rely on specific assumptions regarding mortality models or interest rate models. As long as the scenarios generated by the adopted models are highly correlated, the proposed approach should be effective. By using stochastic mortality and interest rate models and the Monte Carlo simulation approach, we show that the proposed generalised immunisation approach can serve as an effective vehicle to control the aggregate risk of life insurance companies. The numerical results further demonstrate that adding the reverse mortgage to the insurers’ product portfolio creates a better hedging effect and effectively reduces the total risk associated with the surplus of the life insurers.
dc.format.extent 255893 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) The Geneva Papers on Risk and Insurance,36(4),697-717
dc.title (題名) Using Reverse Mortages to Hedge Longevity and Financial Risks for Life Insurers: A Generalized Immunization Approach
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1057/gpp.2011.22en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1057/gpp.2011.22en_US