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Title: A Feasible Natural Hedging Strategy for Insurance Companies
Authors: 黃泓智
Wang, Chou-Wen;Huang, Hong-Chih;Hong, De-Chuan
Contributors: 風管系
Keywords: Longevity risk;Natural hedging strategy;Experience mortality rates
Date: 2013-05
Issue Date: 2013-11-21 14:56:00 (UTC+8)
Abstract: To offer a means for insurance companies to deal with longevity risk, this article investigates a natural hedging strategy and attempts to find an optimal allocation of insurance products. Unlike prior research, this proposed natural hedging model can account for both the variance and mispricing effects of longevity risk at the same time. In addition, this study employs experience mortality rates, obtained from life insurance companies, rather than population mortality data for life insurance and annuity products.
Relation: Insurance : Mathematics and Economics, 52(3), 532-541
Data Type: article
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Appears in Collections:[風險管理與保險學系 ] 期刊論文

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