Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076737 | Insurance: Mathematics and Economics | 2013 | 10 Pages |
Abstract
To offer a means for insurance companies to deal with longevity risk, this article investigates a natural hedging strategy and attempts to find an optimal allocation of insurance products. Unlike prior research, this proposed natural hedging model can account for both the variance and mispricing effects of longevity risk at the same time. In addition, this study employs experience mortality rates, obtained from life insurance companies, rather than population mortality data for life insurance and annuity products.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Chou-Wen Wang, Hong-Chih Huang, De-Chuan Hong,