کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076446 | 1477214 | 2015 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the effectiveness of natural hedging for insurance companies and pension plans
ترجمه فارسی عنوان
در مورد اثربخشی حبس طبیعی برای شرکت های بیمه و برنامه های بازنشستگی
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life products, using the correlated Poisson Lee-Carter model, Poisson common factor model, product-ratio model, and historical simulation. Our analysis is based on the mortality experience of UK assured lives, pensioners, and annuitants, and the national population of England and Wales. We consider a range of different scenarios, and find that the level of risk reduction is significant in general, with an average of around 60%. These results have important implications for those insurers, reinsurers, and pension plan sponsors who are seeking ways to hedge their unwanted risk exposures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 61, March 2015, Pages 286-297
Journal: Insurance: Mathematics and Economics - Volume 61, March 2015, Pages 286-297
نویسندگان
Jackie Li, Steven Haberman,