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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Hedging Longevity Risk by Asset Management: an ALM Approach


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62071


    Title: Hedging Longevity Risk by Asset Management: an ALM Approach
    Authors: Jennifer Wang;Jeffrey T. Tsai;Larry Y
    教師: 蔡子皓
    Date: 2009
    Publisher: Cass Business School
    Relation: The 5th International Longevity Risk and Capital Markets Solutions Conference,Cass Business School, New York,2009
    Keywords: Hedging
    Longevity Risk
    ALM
    Abstract: This  paper  intends  to  ◦propose  an  asset/ liability  manage ment  approach  t o control  the  aggregate  risk  for  annuity  providers  or  pension  funds ◦develop  an  integrated  model  which  can  deal  with in terest rate  risk  and  longevity  risk simultaneously ◦demonstrate  that  our  proposed  approach  can  lead  to  an  optimal  asset  liability   strategy  which  can  effectively  decreas  the  aggregate risk s o f annuity  providers  ◦longevity  bond  can  be  served  as  an  efficient  vehicle  to  hedge against  longevity  risk
    URI: http://www.longevity-risk.org/five/presentations/Workshop_Session8/8B_Jennifer_Wang.pdf
    http://www.cass.city.ac.uk/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62071
    Appears in Collections:[計量財務金融學系] 期刊論文

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