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題名 Understanding Patterns of Mortality Homogeneity and Heterogeneity across Countries and their Role in Modelling Mortality Dynamics and Hedging Longevity Risk
作者 楊曉文
Yang, Sharon S.
Yeh, Yu-Yun
Yue, Jack C.
Huang, Hong-Chih
貢獻者 金融系
日期 2019-12
上傳時間 2-Mar-2020 15:25:38 (UTC+8)
摘要 Understanding patterns of mortality homogeneity and heterogeneity across countries can assist in modeling mortality dynamics and in hedging longevity risk. This study proposes a methodology, based on the graduation method, to detect differences in mortality rates across different populations. Using an index hˆ2ĥ2 based on the partial standard mortality ratio, we measure mortality homogeneity and heterogeneity, then conduct an empirical study across countries with emerging and developed markets. The results of model fitting show that it is inappropriate to use a coherent mortality model for the mortality-heterogeneous populations. In an application, we demonstrate that a reinsurer can utilize information concerning mortality homogeneity/heterogeneity for pooling risk in its books of life insurance and annuity businesses and increase overall hedge effectiveness. The coherent mortality model can help reduce the volatility of the reinsurer’s profit and help the reinsurer diversify its longevity risk.
關聯 North American Actuarial Journal
資料類型 article
DOI https://doi.org/10.1080/10920277.2019.1662315
dc.contributor 金融系-
dc.creator (作者) 楊曉文-
dc.creator (作者) Yang, Sharon S.-
dc.creator (作者) Yeh, Yu-Yun-
dc.creator (作者) Yue, Jack C.-
dc.creator (作者) Huang, Hong-Chih-
dc.date (日期) 2019-12-
dc.date.accessioned 2-Mar-2020 15:25:38 (UTC+8)-
dc.date.available 2-Mar-2020 15:25:38 (UTC+8)-
dc.date.issued (上傳時間) 2-Mar-2020 15:25:38 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/129033-
dc.description.abstract (摘要) Understanding patterns of mortality homogeneity and heterogeneity across countries can assist in modeling mortality dynamics and in hedging longevity risk. This study proposes a methodology, based on the graduation method, to detect differences in mortality rates across different populations. Using an index hˆ2ĥ2 based on the partial standard mortality ratio, we measure mortality homogeneity and heterogeneity, then conduct an empirical study across countries with emerging and developed markets. The results of model fitting show that it is inappropriate to use a coherent mortality model for the mortality-heterogeneous populations. In an application, we demonstrate that a reinsurer can utilize information concerning mortality homogeneity/heterogeneity for pooling risk in its books of life insurance and annuity businesses and increase overall hedge effectiveness. The coherent mortality model can help reduce the volatility of the reinsurer’s profit and help the reinsurer diversify its longevity risk.-
dc.format.extent 1361914 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) North American Actuarial Journal-
dc.title (題名) Understanding Patterns of Mortality Homogeneity and Heterogeneity across Countries and their Role in Modelling Mortality Dynamics and Hedging Longevity Risk-
dc.type (資料類型) article-
dc.identifier.doi (DOI) 10.1080/10920277.2019.1662315-
dc.doi.uri (DOI) https://doi.org/10.1080/10920277.2019.1662315-