The Term Structure of Reserve Mortality Durations

• Main Authors: Peter Chih-Yu Pan, 潘執宇
• Other Authors: Yu-Ren Tzeng
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/56755179690570523049

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === Longevity risk has become an important issue because of the advance in medical technology. In fact, both the decrease and increase of mortality rate may cause insurance companies to have more risks. In this paper, we defined mortality duration as the sensitivity of reserve to mortality rate, and use it as the measurement of mortality risk. We studied the term structure of mortality duration and found some interesting results. In some cases, we may find an appropriate proportion between old policies and new policies for insurance companies, which can help a better dynamic equilibrium of mortality duration match. In addition, we also found deferred period and interest rate as two factors which may cause mortality risk to change.