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Asset liability management of longevity and interest rate risks : using survival-mortality bonds

 
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<title>Asset liability management of longevity and interest rate risks</title>
<subTitle>: using survival-mortality bonds</subTitle>
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<namePart>Lin, Tzuling</namePart>
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<namePart>Cheng, Hung-Wen</namePart>
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<dateIssued encoding="marc">2023</dateIssued>
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<abstract displayLabel="Summary">In this article, we propose to attach a mortality index to a conventional bond, called a survivalmortality (SM) bond. Its cash flow pattern is like a conventional bond but it can be separated into a survival (S) part and a mortality (M) part; the cash flow pattern in the former is like an annuity or a longevity bond and that in the latter is like a mortalitycatastrophe bond. We further propose to split it into S, M, and SM zero-coupon STRIPS (Separate Trading Registered Interest and Principal Securities). We apply these S, M, and SM issues to hedging longevity risk and interest rate risk of 1-year and multiple-year annuity exposures for the asset liability management of an annuity provider by adopting mortality, interest, mortalityinterest duration, and convexity matching strategies. We can infer that mortality-linked bonds play an essential role in asset liability management; the proposed survivalmortality bonds will be a feasible way to develop an efficient market for longevity risk</abstract>
<note type="statement of responsibility">Tzuling Lin, Cary Chi-Liang Tsai, Hung-Wen Cheng</note>
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<topic>Cálculo actuarial</topic>
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<topic>Mortalidad</topic>
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<topic>Envejecimiento</topic>
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<topic>Análisis de riesgos</topic>
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<topic>Renta vitalicia</topic>
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<topic>Responsabilidad</topic>
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mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>06/03/2023 Tomo 27 Número 1 - 2023 , p. 74-95</text>
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