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https://ah.lib.nccu.edu.tw/handle/140.119/61755
題名: | A Feasible Natural Hedging Strategy for Insurance Companies | 作者: | 黃泓智 Wang, Chou-Wen ; Huang, Hong-Chih ; Hong, De-Chuan |
貢獻者: | 風管系 | 關鍵詞: | Longevity risk; Natural hedging strategy; Experience mortality rates | 日期: | May-2013 | 上傳時間: | 21-Nov-2013 | 摘要: | 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. | 關聯: | Insurance : Mathematics and Economics, 52(3), 532-541 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.insmatheco.2013.02.015 |
Appears in Collections: | 期刊論文 |
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