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

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<dc:creator>Lin, Tzuling</dc:creator>
<dc:creator>Tsai, Cary Chi-Liang</dc:creator>
<dc:creator>Cheng, Hung-Wen</dc:creator>
<dc:date>2023-03-06</dc:date>
<dc:description xml:lang="es">Sumario: 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/183267.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Envejecimiento</dc:subject>
<dc:subject xml:lang="es">Análisis de riesgos</dc:subject>
<dc:subject xml:lang="es">Renta vitalicia</dc:subject>
<dc:subject xml:lang="es">Responsabilidad</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Asset liability management of longevity and interest rate risks : using survival-mortality bonds</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/03/2023 Tomo 27 Número 1 - 2023 , p. 74-95</dc:relation>
</rdf:Description>
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