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.
