On the Mortality-longevity risk hedging with mortality immunization

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<title>Mortality-longevity risk hedging with mortality immunization</title>
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<namePart>Lin, Tzu-Ting</namePart>
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<abstract displayLabel="Summary">The authors define the mortality durations and convexities of the prices of life insurance and annuity products with respect to an instantaneously, parallel shift, respectively in the forces of mortality, the one-year survival probabilities and the one year death propabilities, and further derive them as magnitude-free closed-form formulas. The the authors propose several duration/convexity matching strategies to determine the weights of two or three products in an insurance portfolio</abstract>
<note type="statement of responsibility">Tzuling Lin,  Cary Chi-Liang Tsai</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p. 580-596</text>
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