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https://ah.lib.nccu.edu.tw/handle/140.119/45711
題名: | An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach | 作者: | 王儷玲;黃泓智;楊曉文;蔡子皓 Wang, Jennifer L. ; Huang, H.C. ; Yang, Sharon S. ; Tsai, Jeffrey T. |
貢獻者: | 風管系 | 日期: | Jun-2010 | 上傳時間: | 6-Oct-2010 | 摘要: | 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. | 關聯: | Journal of Risk and Insurance, 77(2), 473-497 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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