Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/129033


Title: Understanding Patterns of Mortality Homogeneity and Heterogeneity across Countries and their Role in Modelling Mortality Dynamics and Hedging Longevity Risk
Authors: 楊曉文*
Yang, Sharon S.
Yeh, Yu-Yun
Yue, Jack C.
Huang, Hong-Chih
Contributors: 金融系
Date: 2019-12
Issue Date: 2020-03-02 15:25:38 (UTC+8)
Abstract: Understanding patterns of mortality homogeneity and heterogeneity across countries can assist in modeling mortality dynamics and in hedging longevity risk. This study proposes a methodology, based on the graduation method, to detect differences in mortality rates across different populations. Using an index hˆ2ĥ2 based on the partial standard mortality ratio, we measure mortality homogeneity and heterogeneity, then conduct an empirical study across countries with emerging and developed markets. The results of model fitting show that it is inappropriate to use a coherent mortality model for the mortality-heterogeneous populations. In an application, we demonstrate that a reinsurer can utilize information concerning mortality homogeneity/heterogeneity for pooling risk in its books of life insurance and annuity businesses and increase overall hedge effectiveness. The coherent mortality model can help reduce the volatility of the reinsurer’s profit and help the reinsurer diversify its longevity risk.
Relation: North American Actuarial Journal
Data Type: article
DOI 連結: https://doi.org/10.1080/10920277.2019.1662315
Appears in Collections:[金融學系] 期刊論文

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