دانلود مقاله ISI انگلیسی شماره 50623
ترجمه فارسی عنوان مقاله

اقدامات ریسک مالی وابسته به مرگ و میر

عنوان انگلیسی
Mortality-dependent financial risk measures
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
50623 2006 14 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Insurance: Mathematics and Economics, Volume 38, Issue 3, 15 June 2006, Pages 427–440

ترجمه کلمات کلیدی
خطر مرگ و میر - اوراق قرضه طول عمر - ارزش در معرض خطر - اقدامات ریسک منسجم - اقدامات ریسک طیفی
کلمات کلیدی انگلیسی
Mortality risk; Longevity bonds; Value-at-risk; Coherent risk measures; Spectral risk measures
پیش نمایش مقاله
پیش نمایش مقاله  اقدامات ریسک مالی وابسته به مرگ و میر

چکیده انگلیسی

This paper uses a recently developed two-factor stochastic mortality model to estimate financial risk measures for four illustrative types of mortality-dependent financial position: investments in zero-coupon longevity bonds; investments in longevity bonds that pay annual survivor-dependent coupons; and two examples of an insurer's annuity book that are each hedged by a longevity bond, one based on the annuity book and hedge having the same reference cohort, and the other not. The risk measures estimated are the value-at-risk, the expected shortfall and a spectral risk measure based on an exponential risk-aversion function. Results are reported on a model calibrated on data provided by the UK Government Actuary's Department, both with and without underlying parameter uncertainty.