Hedging mortality-longevity risks of insurance portfolios for life insurer-annuity provider and financial intermediary
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20160003956 | ||
| 003 | MAP | ||
| 005 | 20160219125818.0 | ||
| 008 | 160208e20160104esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a34 | ||
| 100 | 1 | $0MAPA20160002324$aTzuling, Lin | |
| 245 | 1 | 0 | $aHedging mortality-longevity risks of insurance portfolios for life insurer-annuity provider and financial intermediary$cLin Tzuling, Cary Chi-Liang Tsa |
| 520 | $aIn this paper, we propose two risk hedge schemes in which a life insurer (an annuity provider) can transfer mortality (longevity) risk of a portfolio of life (annuity) exposures to a financial intermediary by paying the hedging premium of a mortality-linked security. The optimal units of the mortality-linked security which maximize hedge effectiveness for a life insurer (an annuity provider) can be derived as closed-form formulas under the risk hedge schemes. Numerical illustrations show that the risk hedge schemes can significantly hedge the downside risk of loss due to mortality (longevity) risk for the life insurer (annuity provider) under some stochastic mortality models. Besides, finding an optimal weight of a portfolio of life and annuity business, the financial intermediary can reduce the sensitivity to mortality rates but the model risk; a security loading may be imposed on the hedge premium for a higher probability of gain to compensate the financial intermediary for the inevitable model risk. | ||
| 650 | 4 | $0MAPA20080553630$aCoberturas | |
| 650 | 4 | $0MAPA20080583972$aCartera de seguros | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20100065273$aModelo Lee-Carter | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20150010858$aChi-Liang Tsai, Cary | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g04/01/2016 Volumen 66 - enero 2016 , p. 44-58 |