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

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1001 ‎$0‎MAPA20140024919‎$a‎Lin, Tzuling
24500‎$a‎Asset liability management of longevity and interest rate risks‎$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
7001 ‎$0‎MAPA20230005293‎$a‎Cheng, Hung-Wen
7730 ‎$w‎MAP20077000239‎$g‎06/03/2023 Tomo 27 Número 1 - 2023 , p. 74-95‎$x‎1092-0277‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-
85600‎$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