Asset liability management of longevity and interest rate risks : using survival-mortality bonds
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20230012642 | ||
| 003 | MAP | ||
| 005 | 20231214132403.0 | ||
| 008 | 230613e20230306esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20140024919$aLin, Tzuling | |
| 245 | 0 | 0 | $aAsset liability management of longevity and interest rate risks$b: using survival-mortality bonds$cTzuling Lin, Cary Chi-Liang Tsai, Hung-Wen Cheng |
| 520 | $aIn 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 | ||
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080568771$aEnvejecimiento | |
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 4 | $0MAPA20080573614$aRenta vitalicia | |
| 650 | 4 | $0MAPA20080573645$aResponsabilidad | |
| 700 | $0MAPA20080660314$aTsai, Cary Chi-Liang | ||
| 700 | 1 | $0MAPA20230005293$aCheng, Hung-Wen | |
| 773 | 0 | $wMAP20077000239$g06/03/2023 Tomo 27 Número 1 - 2023 , p. 74-95$x1092-0277$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997- | |
| 856 | 0 | 0 | $yMÁS INFORMACIÓN$u 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 |