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題名 Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Risks
作者 楊曉文; 黃泓智
Yang, Sharon S.; Huang, Hong-Chih; Jung, Jin-Kuo
貢獻者 風管系
日期 2019-09
上傳時間 27-八月-2018 17:02:32 (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, Vol.86, No.3, pp.783-805
資料類型 article
DOI https://doi.org/10.1111/jori.12238
dc.contributor 風管系-
dc.creator (作者) 楊曉文; 黃泓智zh_TW
dc.creator (作者) Yang, Sharon S.; Huang, Hong-Chih; Jung, Jin-Kuoen_US
dc.date (日期) 2019-09-
dc.date.accessioned 27-八月-2018 17:02:32 (UTC+8)-
dc.date.available 27-八月-2018 17:02:32 (UTC+8)-
dc.date.issued (上傳時間) 27-八月-2018 17:02:32 (UTC+8)-
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=137566-
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 1042770 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Risk and Insurance, Vol.86, No.3, pp.783-805-
dc.title (題名) Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Risksen_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-