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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54272

    Title: 長壽風險、資本市場與壽險公司資產負債管理
    Other Titles: Longevity Risk, Capital Market and ALM for Life Insurance Companies
    Authors: 繆震宇
    Contributors: 淡江大學保險學系
    Date: 2010
    Issue Date: 2011-07-05 23:25:06 (UTC+8)
    Abstract: 本研究試圖找出資本市場報酬與人口死亡率的二次關係,使得死亡率敏感型商品的凸性(convexity)能夠在資產面有對應的避險管道。另外、本研究也建構一個壽險公司的死亡率風險管理模型,透過delta與gamma避險架構進行保險公司的死亡率資產負債管理。
    This study attempts to find the second order relation between mortality rates and capital returns. This relation provides a way to hedge mortality convexity of mortality sensitivity products. This study also builds a asset liability management model for life insurance companies. The optimal ALM for mortality risk can be found through delta and gamma hedging.
    Appears in Collections:[Graduate Institute & Department of Insurance Insurance] Research Paper

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