| Summary: | 碩士 === 淡江大學 === 保險學系保險經營碩士班 === 100 === Because of the advances in health technology and of the improvement of public health, human life expectancy has been increasing significantly. Moreover, recent fertility declines have been more rapidly around the world, so ageing is a challenge for the whole world. In order to avoid the loss of longevity risk, life insurance companies need to develop robust hedging strategies. However, there are some difficulties and shortcomings for the insurance companies to execute nature hedge or securitization.
Many researches have proved that links between stock premium and demographic characteristics, so this paper analyzes mortality rates of USA, Japan, England, Germany, and France over the period from 1950 to 2010 refer to the Lee-Carter model, economic variables, and CAPM. By using the dynamic mortality model different from traditional life table, we expect to find the links between stock premium and demographic characteristics and to provide another selection for the life insurance companies to hedge the risk of mortality changes.
According to the result from analyzing the five countries, it is no significant correlation between stock premium and demographic characteristics. By analyzing each country, there is some correlation only for three years and five years from now.
Hence, when the life insurance companies use dynamic mortality model, it is easily for them to predict the long-term trends because there is no significant correlation between stock premium and demographic characteristics. When the companies consider demographic risk to develop hedge strategies, they do not need to consider capital market instruments. Also, while designing insurance policies, the companies could put factors of demographic risk in to consideration and could increase the premium to disperse risks.
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