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考量基差風險與死亡年齡相關風險下死亡證券化之實證分析與理論評價 = Em...

國立高雄大學統計學研究所

考量基差風險與死亡年齡相關風險下死亡證券化之實證分析與理論評價 = Empirical Analysis and Theoretical Valuation in Mortality Securitization with Basis Risk and Mortality Inter-age Dependence Risk

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Empirical Analysis and Theoretical Valuation in Mortality Securitization with Basis Risk and Mortality Inter-age Dependence Risk
作者:	許立琳,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2009[民98]
面頁冊數:	73面圖、表 : 30公分;
標題:	Lee-Carter模型
標題:	Lee-Carter model
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/27039018079204791754
附註:	參考書目：面
附註:	指導教授：林士貴
摘要註:	Lee-Carter模型(Lee and Carter (1992))是近幾年最常被使用的死亡率模型，然而，死亡率改善和死亡率跳躍亦是保險公司在計算保單時應該考量的重要因素。因此，本研究考慮死亡率改善模型與巨災死亡率模型，利用英國之死亡率資料進行參數估計。實證結果發現，就死亡率在時間上之變化而言，年紀較輕者會比年紀較年長者相對敏感，因此會有較大的波動，而死亡率之改善程度亦隨著年齡增長，出現遞減的趨勢。再者，本研究考量不同年齡間之死亡相關性，進行Swiss Re死亡債券之定價。亦探討當保險公司所承保之死亡風險與實際發行之Swiss Re死亡債券間性別與年齡權重不同時，所得到不同之風險市場價格而引發之基差風險。數值分析結果顯示，當死亡年齡之相關性為零時，所得到的死亡年齡相關風險會較大；此外，年紀越年長者所分配之年齡權重越大時，得到之基差風險會相對變大，而給予不同於Swiss Re死亡債券之性別權重對基差風險亦會產生不同程度之影響。本研究亦發現，死亡年齡相關風險相較於基差風險，對於風險的市場價格有較大的影響力。 Lee-Carter model (Lee and Carter (1992)) is the most popular mortality model recently. However, mortality improvement and catastrophe mortality are also the important factors when insurance company prices the insurance policy. Therefore, this research considers the mortality improvement model and the mortality model and uses the mortality rate data of UK to estimate the parameters. From the empirical result, we can find the younger is more sensitive to the variation in the level of mortality over time. Thus there exist more violent jumps. And the mortality improvement is decreasing with the increasing age. Moreover, this research considers the inter-age dependences to price the Swiss Re mortality bond. And to discuss that the basis risk caused by the implied market prices of risk under the different weights of gender and age between the Swiss Re mortality bond and insurance company. The numerical analysis results the inter-age dependence risk is the largest when the inter-age dependences are zeros. Besides, the basis risk is larger relatively when the elder is distributed to the larger weight, and the different age weights between the Swiss Re mortality bond and insurance company also lead to the basis risk emerge. This research also proposes that the inter-age dependence risk dominates the basis risk on the implied market prices of risk.

考量基差風險與死亡年齡相關風險下死亡證券化之實證分析與理論評價 = Empirical Analysis and Theoretical Valuation in Mortality Securitization with Basis Risk and Mortality Inter-age Dependence Risk
許, 立琳

考量基差風險與死亡年齡相關風險下死亡證券化之實證分析與理論評價 = Empirical Analysis and Theoretical Valuation in Mortality Securitization with Basis Risk and Mortality Inter-age Dependence Risk / 許立琳撰 - [高雄市] : 撰者, 2009[民98]. - 73面 ; 圖、表 ; 30公分.
參考書目：面指導教授：林士貴.
Lee-Carter模型Lee-Carter model

考量基差風險與死亡年齡相關風險下死亡證券化之實證分析與理論評價 = Empirical Analysis and Theoretical Valuation in Mortality Securitization with Basis Risk and Mortality Inter-age Dependence Risk
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