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North American Actuarial Journal Volume 18, 2014 - Issue 3
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Feature Articles

Applications of Mortality Durations and Convexities in Natural Hedges

Tzuling LinDepartment of Finance, National Chung Cheng University, Minhsiung, Taiwan
&
Cary Chi-Liang TsaiDepartment of Statistics and Actuarial Science, Simon Fraser University, Burnaby, British Columbia, CanadaCorrespondence[email protected]
Pages 417-442 | Published online: 30 May 2014

Citations (16)

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Read on this site (7)

Hua Chen, Jin Gao & Wei Zhu. (2023) A Unified Framework for Insurance Demand and Mortality Immunization. North American Actuarial Journal 0:0, pages 1-22.
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Tzuling Lin, Cary Chi-Liang Tsai & Hung-Wen Cheng. (2023) Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds. North American Actuarial Journal 27:1, pages 74-95.
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Kenneth Q. Zhou & Johnny Siu-Hang Li. (2021) Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?. North American Actuarial Journal 25:sup1, pages S66-S96.
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Tzuling Lin & Cary Chi-Liang Tsai. (2020) Hedging Mortality/Longevity Risks for Multiple Years. North American Actuarial Journal 24:1, pages 118-140.
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Cary Chi-Liang Tsai & Xinying Liang. (2018) Application of Relational Models in Mortality Immunization. North American Actuarial Journal 22:4, pages 509-532.
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Cary Chi-Liang Tsai & Tzuling Lin. (2017) A Bühlmann Credibility Approach to Modeling Mortality Rates. North American Actuarial Journal 21:2, pages 204-227.
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Cary Chi-Liang Tsai & Shuai Yang. (2015) A Linear Regression Approach to Modeling Mortality Rates of Different Forms. North American Actuarial Journal 19:1, pages 1-23.
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Articles from other publishers (9)

Tzuling Lin & Cary Chi‐Liang Tsai. (2022) A new option for mortality–interest rates. Journal of Futures Markets 43:2, pages 273-293.
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David Blake & Andrew J.G. Cairns. (2021) Longevity risk and capital markets: The 2019-20 update. Insurance: Mathematics and Economics 99, pages 395-439.
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A Wibisana & M Novita. (2021) Simulation of mortality immunization for life insurance companies in Indonesia using duration and convexity approach. Journal of Physics: Conference Series 1725:1, pages 012082.
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Tzuling Lin & Cary Chi-liang Tsai. (2020) NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES. ASTIN Bulletin 50:1, pages 155-185.
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Kenneth Q. Zhou & Johnny Siu-Hang Li. (2019) Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk. Insurance: Mathematics and Economics 84, pages 1-21.
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Johnny Siu-Hang Li, Wai-Sum Chan & Rui Zhou. (2017) Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization. Journal of Risk and Insurance 84:3, pages 1025-1065.
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Tzuling Lin & Cary Chi-Liang Tsai. (2016) Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary. Insurance: Mathematics and Economics 66, pages 44-58.
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Tzuling Lin, Chou-Wen Wang & Cary Chi-Liang Tsai. (2015) Age-specific copula-AR-GARCH mortality models. Insurance: Mathematics and Economics 61, pages 110-124.
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Hua Chen, Jin Gao & Wei Zhu. (2020) A Unified Framework for Mortality Immunization and Insurance Demand. SSRN Electronic Journal.
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