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題名 Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Pricing
作者 Yang, Sharon S.
黃泓智
Huang, Hong-Chih
Yeh, Yu-Yun
貢獻者 風管系
日期 2017-12
上傳時間 3-八月-2018 17:14:53 (UTC+8)
摘要 This article studies the optimal hedging strategy to deal with longevity risk for the life insurer considering basis risk. We build up a longevity hedging framework that incorporates not only the internal natural hedging but also the external hedging by using the q‐forwards. The optimal hedging strategy is obtained by a minimizing‐variance approach that can minimize the impact of longevity risk on the insurer`s profit function. To investigate the basis risk, instead of using population mortality, we adopt a unique mortality data set of annuity and life insurance policies that enable us to calibrate the multi‐population mortality dynamics for different lines of insurance policies. We consider three different hedging strategies: the natural hedging strategy, the external hedging strategy, and combining both natural hedging, and external hedging strategies. The hedge effectiveness for different hedging strategies is evaluated. In addition, the mortality forecast model based on VECM and ARIMA are used to examine the impact of basis risk on hedge effectiveness. As a result, combining both internal and external hedging strategies is the most effective way to manage longevity risk. Ignoring the basis risk will decrease the hedge effectiveness.
關聯 Journal of Risk and Insurance, (SSCI)(國科會財務領域保險精算A Tier1級期刊)
資料類型 article
DOI |https://doi.org/10.1111/jori.12238
dc.contributor 風管系
dc.creator (作者) Yang, Sharon S.en_US
dc.creator (作者) 黃泓智zh_TW
dc.creator (作者) Huang, Hong-Chihen_US
dc.creator (作者) Yeh, Yu-Yunen_US
dc.date (日期) 2017-12
dc.date.accessioned 3-八月-2018 17:14:53 (UTC+8)-
dc.date.available 3-八月-2018 17:14:53 (UTC+8)-
dc.date.issued (上傳時間) 3-八月-2018 17:14:53 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119181-
dc.description.abstract (摘要) This article studies the optimal hedging strategy to deal with longevity risk for the life insurer considering basis risk. We build up a longevity hedging framework that incorporates not only the internal natural hedging but also the external hedging by using the q‐forwards. The optimal hedging strategy is obtained by a minimizing‐variance approach that can minimize the impact of longevity risk on the insurer`s profit function. To investigate the basis risk, instead of using population mortality, we adopt a unique mortality data set of annuity and life insurance policies that enable us to calibrate the multi‐population mortality dynamics for different lines of insurance policies. We consider three different hedging strategies: the natural hedging strategy, the external hedging strategy, and combining both natural hedging, and external hedging strategies. The hedge effectiveness for different hedging strategies is evaluated. In addition, the mortality forecast model based on VECM and ARIMA are used to examine the impact of basis risk on hedge effectiveness. As a result, combining both internal and external hedging strategies is the most effective way to manage longevity risk. Ignoring the basis risk will decrease the hedge effectiveness.en_US
dc.format.extent 122 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Journal of Risk and Insurance, (SSCI)(國科會財務領域保險精算A Tier1級期刊)
dc.title (題名) Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Pricingen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1111/jori.12238
dc.doi.uri (DOI) |https://doi.org/10.1111/jori.12238