Pesquisa de referências

On the Mortality-longevity risk hedging with mortality immunization

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20140000562
003  MAP
005  20140207125634.0
008  140107e20131104gbr|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎341
1001 ‎$0‎MAPA20100033692‎$a‎Lin, Tzu-Ting
24517‎$a‎On the Mortality-longevity risk hedging with mortality immunization‎$c‎Tzuling Lin, Cary Chi-Liang Tsai
520  ‎$a‎The 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
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
700  ‎$0‎MAPA20080660314‎$a‎Tsai, Cary Chi-Liang
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p. 580-596