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    题名: Does mortality improvement increase equity risk premiums? A risk perception perspective
    作者: Huang, Rachel J.;Miao, Jerry C.Y.;Tzeng, Larry Y.
    贡献者: 淡江大學保險學系
    关键词: Mortality risk;Equity risk premium;Demography;Risk perception
    日期: 2013-06-01
    上传时间: 2014-03-12 04:47:57 (UTC+8)
    出版者: Amsterdam: Elsevier BV * North-Holland
    摘要: 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.
    關聯: Journal of Empirical Finance 22, pp.67-77
    DOI: 10.1016/j.jempfin.2013.03.002
    显示于类别:[風險管理與保險學系] 期刊論文


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