The Effect of changing in Mortality on Industry Returns in America

• Main Authors: Man-Ting Liao, 廖曼婷
• Other Authors: 繆震宇
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/37140006179149202234

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.