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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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長壽風險下商品間自然避險策略之探討 / A Discussion on the Natural Hedging Strategy in different policies under Longevity Risk

蔡宛臻, Tsai, Wan Chen Unknown Date (has links)
本研究透過不同年齡與性別之保戶之壽險商品與年金商品保費淨值比例來做商品間自然避險策略，避免以往只能配適特定年齡商品間自然避險策略的限制，使保險公司能夠對於公司內不同年齡與性別之壽險商品與年金商品投資組合進行避險策略，並藉由壽險商品和年金商品的淨值保費比例來求出最適壽險與年金商品權重來配置商品組合。且使用臺灣實務資料以建構年金商品與壽險商品各自的死亡率模型進行商品間自然避險策略，並觀察在不同生命表限制下，商品間自然避險之最適權重的變化，供未來保險公司決策者在決定如何配置公司內商品間自然避險策略時，可有一量化之參考依據。
長壽風險
自然避險
商品間避險
Longevity risk
Natural hedging

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