多州人寿和健康保险的去风险化

IF 1.5 Q3 BUSINESS, FINANCE
Susanna Levantesi, Massimiliano Menzietti, Anna Kamille Nyegaard
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引用次数: 0

摘要

人寿保险和健康保险负债的计算基于对死亡率和伤残率的假设,如果对这些比率的假设发生变化,保险公司就会面临系统性保险风险。在本文中,我们通过考虑与模型过渡强度相关联的证券,研究如何在多状态设置下管理系统性保险风险。我们假定存在一个与死亡率和伤残率等相关联的两种证券(去风险期权和去风险掉期)的交易市场,并描述了如何在多状态设置下找到最小化系统性保险风险的去风险策略的优化问题。我们根据残疾模型开发了一个数值示例,结果表明,在实施去风险策略时,系统性保险风险会显著降低。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
De-risking in multi-state life and health insurance
The calculation of life and health insurance liabilities is based on assumptions about mortality and disability rates, and insurance companies face systematic insurance risks if assumptions about these rates change. In this paper, we study how to manage systematic insurance risks in a multi-state setup by considering securities linked to the transition intensities of the model. We assume there exists a market for trading two securities linked to, for instance, mortality and disability rates, the de-risking option and the de-risking swap, and we describe the optimization problem to find the de-risking strategy that minimizes systematic insurance risks in a multi-state setup. We develop a numerical example based on the disability model, and the results imply that systematic insurance risks significantly decrease when implementing de-risking strategies.
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来源期刊
CiteScore
3.10
自引率
5.90%
发文量
22
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