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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96614

    Title: Does mortality improvement increase equity risk premiums? A risk perception perspective
    Authors: Huang, Rachel J.;Miao, Jerry C.Y.;Tzeng, Larry Y.
    Contributors: 淡江大學保險學系
    Keywords: Mortality risk;Equity risk premium;Demography;Risk perception
    Date: 2013-06-01
    Issue Date: 2014-03-12 04:47:57 (UTC+8)
    Publisher: Amsterdam: Elsevier BV * North-Holland
    Abstract: Using data for G7 countries over the period from 1950 to 2007, this paper finds that an unexpected shock to the mortality rate is significantly negatively correlated with the equity premium. A one basis point unexpected negative shock to the mortality rate increases both the one-year and five-year equity premiums by 0.54% and 1.66%, respectively. We also demonstrate how financial institutions could use our findings to hedge the risk of mortality-linked securities.
    Relation: Journal of Empirical Finance 22, pp.67-77
    DOI: 10.1016/j.jempfin.2013.03.002
    Appears in Collections:[保險學系暨研究所] 期刊論文

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