The Effect of changing in Mortality on Industry Returns in America
碩士 === 淡江大學 === 保險學系保險經營碩士班 === 98 === With the advance in medical science and technology, reducing the mortality, making the life expectancy rise. For insurance industry, in order to cope with longevity risk, people purchase annuity products to cover the gaps for pension; however, with the exte...
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ndltd-TW-098TKU052180212015-10-13T18:20:59Z http://ndltd.ncl.edu.tw/handle/37140006179149202234 The Effect of changing in Mortality on Industry Returns in America 美國死亡率對產業報酬的影響 Man-Ting Liao 廖曼婷 碩士 淡江大學 保險學系保險經營碩士班 98 With the advance in medical science and technology, reducing the mortality, making the life expectancy rise. For insurance industry, in order to cope with longevity risk, people purchase annuity products to cover the gaps for pension; however, with the extension of the life of insured, pension funds and insurance industry have to put more funds into long-term bonds, the substantial demand for long-term bonds will reduce long-term bond yields, making it difficult to offer enough pension, and insurance industry must change the investment strategy, invest in other potential industry or other high returns financial instruments to maintain their profitability. This article takes Black and Scholes, Jensen (1972)one factor model, Fama and French (1992)two factor model, Fama and French (1993)three factor model, and Carhart(1997)four factor model, and add Box and mortality factor predicted by Jenkins arima model respectively, then conduct the regression analysis to forty-nine industries, trying to find out profitable industry under declining mortality and population aging, let pension funds and annuity insurance of insurance industry could operation effectively. 繆震宇 2010 學位論文 ; thesis 104 zh-TW |
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碩士 === 淡江大學 === 保險學系保險經營碩士班 === 98 === With the advance in medical science and technology, reducing the mortality, making the life expectancy rise. For insurance industry, in order to cope with longevity risk, people purchase annuity products to cover the gaps for pension; however, with the extension of the life of insured, pension funds and insurance industry have to put more funds into long-term bonds, the substantial demand for long-term bonds will reduce long-term bond yields, making it difficult to offer enough pension, and insurance industry must change the investment strategy, invest in other potential industry or other high returns financial instruments to maintain their profitability.
This article takes Black and Scholes, Jensen (1972)one factor model, Fama and French (1992)two factor model, Fama and French (1993)three factor model, and Carhart(1997)four factor model, and add Box and mortality factor predicted by Jenkins arima model respectively, then conduct the regression analysis to forty-nine industries, trying to find out profitable industry under declining mortality and population aging, let pension funds and annuity insurance of insurance industry could operation effectively.
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author2 |
繆震宇 |
author_facet |
繆震宇 Man-Ting Liao 廖曼婷 |
author |
Man-Ting Liao 廖曼婷 |
spellingShingle |
Man-Ting Liao 廖曼婷 The Effect of changing in Mortality on Industry Returns in America |
author_sort |
Man-Ting Liao |
title |
The Effect of changing in Mortality on Industry Returns in America |
title_short |
The Effect of changing in Mortality on Industry Returns in America |
title_full |
The Effect of changing in Mortality on Industry Returns in America |
title_fullStr |
The Effect of changing in Mortality on Industry Returns in America |
title_full_unstemmed |
The Effect of changing in Mortality on Industry Returns in America |
title_sort |
effect of changing in mortality on industry returns in america |
publishDate |
2010 |
url |
http://ndltd.ncl.edu.tw/handle/37140006179149202234 |
work_keys_str_mv |
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