지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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Forecasting mortality rate changes in the future is important and necessary for insurance businesses. An interesting observation is that mortality rates for a few age groups have improved recently and that other mortality rate risks may exist. If the life table constructed from a mortality model, which predicts mortality rates lower than those actually experienced by the life insurance policy holders, then the company will face losses from the sales of life insurance contracts.
As a hedging strategy, the insurance company may promote the sale of polices, such as annuities or pure endowments, to offset the losses from the life insurance sales. We present a method of hedging mortality rate risks for the development of endowment policies using the hedge ratios of pure endowment in order to offset the losses from term life insurance. We also demonstrate a hedging strategy using the stochastic force of a mortality model, which is resulted from Malliavin calculus.
목차
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참고문헌 (28)
참고문헌 신청
/ 2012 / Calculation Results and Methods for the Referred
Arnold, S. / 2013 / Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence / North American Actuarial Journal 17 (4) : 273 ~ 282
Bichteler, K. / 1987 / Malliavin Calculus for Processes with Jumps / Gordon and Breach Science Publishers
Biffis, E. / 2005 / Affine Processes for Dynamic Mortality and Actuarial Valuations / Insurance: Mathematics and Economics 37 : 443 ~ 468
Bowers Jr., N. / 1997 / Actuarial Mathematics / Society of Actuaries
Arnold, S. / 2013 / Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence / North American Actuarial Journal 17 (4) : 273 ~ 282
Bichteler, K. / 1987 / Malliavin Calculus for Processes with Jumps / Gordon and Breach Science Publishers
Biffis, E. / 2005 / Affine Processes for Dynamic Mortality and Actuarial Valuations / Insurance: Mathematics and Economics 37 : 443 ~ 468
Bowers Jr., N. / 1997 / Actuarial Mathematics / Society of Actuaries
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