Search
Documentation Center

On the Mortality-longevity risk hedging with mortality immunization
Recurso electrónico / electronic resource
Collection: Articles
Title: On the Mortality-longevity risk hedging with mortality immunization / Tzuling Lin, Cary Chi-Liang TsaiAuthor: Lin, Tzu-Ting ‌
Notes: Sumario: 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 portfolioRelated records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p. 580-596Materia / lugar / evento: Mortalidad ‌Longevidad ‌Seguro de vida ‌Otros autores: Tsai, Cary Chi-Liang ‌
Other categories: 341
Rights: In Copyright (InC)
‌ See issue detail