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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/61755

    Title: A Feasible Natural Hedging Strategy for Insurance Companies
    Authors: 黃泓智
    Wang, Chou-Wen;Huang, Hong-Chih;Hong, De-Chuan
    Contributors: 風管系
    Keywords: Longevity risk;Natural hedging strategy;Experience mortality rates
    Date: 2013-05
    Issue Date: 2013-11-21 14:56:00 (UTC+8)
    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.
    Relation: Insurance : Mathematics and Economics, 52(3), 532-541
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.insmatheco.2013.02.015
    DOI: 10.1016/j.insmatheco.2013.02.015
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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