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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/55260完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 葉小蓁 | |
| dc.contributor.author | Ming-Shun Yeh | en |
| dc.contributor.author | 葉銘軒 | zh_TW |
| dc.date.accessioned | 2021-06-16T03:53:41Z | - |
| dc.date.available | 2017-02-04 | |
| dc.date.copyright | 2015-02-04 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2015-01-06 | |
| dc.identifier.citation | 1. Blake, D., Cairns, A., Dowd, K. (2006). Richard MacMinn,” Longevity Bonds: Financial Engineering and Hedging”, The Journal of Risk and Insurance. Vol.73, No.4 471-508.
2. Cairns, A.J.G., Blake, D., Dowd, K. (2006). “A Two-factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration.” The Journal of Risk and Insurance Vol.73, No.4 687-718. 3. Chang, V.Y.L., Tsai, J.T.H., Liao, S.M. (2010). ”Pricing and Designing Longevity Bond: the Experience in Taiwan.” Journal of Futures and Options. 4. Cowley, A., & Cummins, J.D. (2005). Securitization of life insurance assets and liabilities. Journal of Risk and Insurance 72, 193–226. 5. Cox, S.H., & Lin, Y. (2007). Natural hedging of life and annuity mortality risks. North American Actuarial Journal 11 (3), 1–15. 6. Cui, J.J. (2008). “Longevity Risk Pricing.” Society of Actuaries symposium January 7-9. 7. Lee, R. D., & Cater, L. R. (1992). “Modeling and Forecasting U.S. Mortality,” Journal of the American Statistical Association, 87, 659–671. 8. Liu, L. M., & Gregory B. Hudak. (1992). “The SCA Statistical System Reference Manual for Fundamental Capabilities.” Scientific Computing Associates. 9. Plat, R. (2011). “One-year Value-at-Risk for Longevity and Mortality” Insurance: Mathematics and Economics 49, 462-470. 10. Renshaw, A.E., & Haberman, S. (2006). ” A Cohort-based Extension to the Lee–Carter Model for Mortality Reduction Factors.” Insurance: Mathematics and Economics 38, 556-570. 11. Samuel, W., & Sherris, M. (2010). ”Securitization, structuring and pricing of longevity risk.” Insurance: Mathematics and Economics 46, 173-185. 12. Tsai J. T., Wang, J. L., Tzeng, Larry Y. (2010). ” On the optimal product mix in life insurance companies using conditional value at risk” Insurance: Mathematics and Economics 46, 235-241. 13. Yeh, H. C. (2006). “Analysis and Application of Time Series.” NTU College of Management. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/55260 | - |
| dc.description.abstract | 隨著醫療水平的進步，人們的死亡率逐年下降。造成許多保險公司或退休基金等年金支付者必須支付比以往還要更多的年金給付，而可能面臨破產問題。然而，長壽風險難以藉由其他資本市場的金融工具轉移。因此，將長壽風險資產證券化的概念已經行之有年。本文將以台灣資料為例，試算出65歲以上老年人口存活率為聯結的長壽債券定價。
過往的長壽債券多採用二因子死亡率模型估計死亡率且運用風險中立評價法算出風險價格。本篇則同樣運用二因子死亡率模型。但在風險貼水的計算上，採用VaR 的概念算出債券發行方的損失比率及所需風險貼水的關聯。在無信用風險的假設下，本篇建議長壽債券由政府或是信用良好之金融機構來發行。 | zh_TW |
| dc.description.abstract | Longevity risk refers to uncertainty of mortality improvement in the future caused by medical development and economy growth. It may leads to solvency issues for annuity provider. However, mortality-linked securities provide the hedging instrument which transfer longevity risk from annuity provider to capital market. In this article, we use the two-factor model for stochastic mortality to predict the evolution of mortality rate in Taiwan. In addition, we use the concept of VaR(value at risk) to compute possible longevity risk premium in certain cohort and maturity of a longevity bond. Under these conditions, we derive the price of this bond. Last, we extend the calculations to longevity bonds with different cohorts and maturities to obtain the longevity risk premium and pricing longevity bond base on risk-neutral valuation. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T03:53:41Z (GMT). No. of bitstreams: 1 ntu-103-R01723063-1.pdf: 1632457 bytes, checksum: a44dfaec1b16301a334a8cf976e671c3 (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 摘要 iii Abstract iv 1. Introduction 1 2. Literature Review 3 3. Data 6 4. Methodology 8 4.1 Assumption of issue 8 4.2 Two factor model for stochastic mortality 8 4.2.1 Definition 8 4.2.2 Plot the goodness of fit 10 4.3 Forecast 10 4.4 Survivor index 14 4.5 The calculation of longevity risk premium 15 5. Empirical result 18 5.1 Estimation of A(t) 18 5.2 Time series analysis 19 5.2.1 Structure of A1(t), A2(t) 19 5.2.2 VARIMA 23 5.3 Survival index S(t) 30 5.4 Mortality bonds pricing 32 5.4.1 25-year bond 32 5.4.2 Different cohorts and maturities 35 5.4.3 The impact of interest rate 37 6. Conclusion 39 Reference 42 | |
| dc.language.iso | en | |
| dc.subject | 時間序列 | zh_TW |
| dc.subject | VAR | zh_TW |
| dc.subject | 長壽債券 | zh_TW |
| dc.subject | longevity bond | en |
| dc.subject | time series | en |
| dc.subject | VAR | en |
| dc.title | 以VAR法計算長壽債券定價
台灣資料為例 | zh_TW |
| dc.title | Mortality Bonds Pricing by VAR Method
Data of Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳業嚀,林姿婷 | |
| dc.subject.keyword | 長壽債券,時間序列,VAR, | zh_TW |
| dc.subject.keyword | longevity bond,time series,VAR, | en |
| dc.relation.page | 43 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2015-01-06 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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