https://scholars.lib.ntu.edu.tw/handle/123456789/414435
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Tsai J.T. | en_US |
dc.contributor.author | Tzeng L.Y. | en_US |
dc.contributor.author | Wang J.L. | en_US |
dc.creator | Wang J.L.;Tzeng L.Y.;Tsai J.T. | - |
dc.date.accessioned | 2019-07-22T07:00:37Z | - |
dc.date.available | 2019-07-22T07:00:37Z | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 10920277 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414435 | - |
dc.description.abstract | This paper proposes an asset liability management strategy to hedge the aggregate risk of annuity providers under the assumption that both the interest rate and mortality rate are stochastic. We assume that annuity providers can invest in longevity bonds, long-term coupon bonds, and shortterm zero-coupon bonds to immunize themselves from the risks of the annuity for the equity holders subject to a required profit. We demonstrate that the optimal allocation strategy can lead to the lowest risk under different yield curves and mortality rate assumptions. The longevity bond can also be regarded as an effective hedging vehicle that significantly reduces the aggregate risk of the annuity providers. ? 2011 Taylor & Francis Group, LLC. | - |
dc.language | English | - |
dc.relation.ispartof | North American Actuarial Journal | - |
dc.title | Hedging Longevity Risk When Interest Rates are Uncertain | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1080/10920277.2011.10597617 | - |
dc.identifier.scopus | 2-s2.0-80155124839 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-80155124839&doi=10.1080%2f10920277.2011.10597617&partnerID=40&md5=f4c6a36247a5a9af39e1ea55d9a4a7ad | - |
dc.relation.pages | 201-211 | - |
dc.relation.journalvolume | 15 | - |
dc.relation.journalissue | 2 | - |
item.fulltext | no fulltext | - |
item.grantfulltext | none | - |
item.openairetype | journal article | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | Center for Research in Econometric Theory and Applications (CRETA) | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。