English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88613/118155 (75%)
Visitors : 23470923      Online Users : 215
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/64287


    Title: Hedging Longevity Risk When Interest Rates are Uncertain
    Authors: Tsai, Jeffrey T.;Tzeng, Larry Y.
    蔡子晧;曾郁仁;王儷玲
    Contributors: 風管系
    Date: 2011
    Issue Date: 2014-02-27 17:05:11 (UTC+8)
    Abstract: This paper proposes an asset liability management strategy to hedge the aggregate risk of annuity providers under the assumption that both the interest rate and mortality rate are stochastic. We assume that annuity providers can invest in longevity bonds, long-term coupon bonds, and shortterm zero-coupon bonds to immunize themselves from the risks of the annuity for the equity holders subject to a required profit. We demonstrate that the optimal allocation strategy can lead to the lowest risk under different yield curves and mortality rate assumptions. The longevity bond can also be regarded as an effective hedging vehicle that significantly reduces the aggregate risk of the annuity providers.
    Relation: North America Actuarial Journal, 15(2), 201-211
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/10920277.2011.10597617
    DOI: 10.1080/10920277.2011.10597617
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    201211.pdf207KbAdobe PDF1207View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback