کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076687 | 1374098 | 2013 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the mortality/longevity risk hedging with mortality immunization
ترجمه فارسی عنوان
با ریسک مرگ و میر / طول عمر با ایمن سازی مرگ و میر
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کلمات کلیدی
ایمن سازی مرگ و میر، خطر طول عمر، مدت مرگ و میر، محاسبه مرگ و میر، اثربخشی هجایی،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this paper, we define the mortality durations and convexities of the prices of life insurance and annuity products with respect to an instantaneously proportional change and an instantaneously parallel shift, respectively, in μs (the forces of mortality), ps (the one-year survival probabilities) and qs (the one-year death probabilities), and further derive them as magnitude-free closed-form formulas. Then we propose several duration/convexity matching strategies to determine the weights of two or three products in an insurance portfolio. With the stochastic mortality models, we evaluate the Value-at-Risk (VaR) values and the hedge effectiveness of the surpluses at time zero for the underlying portfolio with these matching strategies. Illustrated numerical examples demonstrate that the duration/convexity matching strategies with respect to an instantaneously proportional change in μs and qs can significantly hedge the mortality/longevity risks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 580-596
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 580-596
نویسندگان
Tzuling Lin, Cary Chi-Liang Tsai,