Natural Hedging of Longevity Risk with Mortality Key Rate Durations

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atmire.migration.oldid4827
dc.contributor.advisorAmbagaspitiya, Rohana Shantha
dc.contributor.authorSam, Charles
dc.contributor.committeememberScollnik, David
dc.contributor.committeememberQiu, Chao
dc.contributor.committeememberFapojuwo, Abraham Olatunji
dc.date.accessioned2016-08-31T14:52:45Z
dc.date.available2016-08-31T14:52:45Z
dc.date.issued2016
dc.date.submitted2016en
dc.description.abstractUnanticipated increase in life expectancy (longevity risk) of policy holders expose annuity providers to financial risk over a period of time. In order to measure the sensitivity of the actuarial present value to shifts in mortality rates for two portfolios for USA male: the Lee-Carter model is used to forecast future mortality rates with mortality data from mortality.org; and the term structure of interest rates are estimated using the Nelson-Siegel-Svensson model. Mortality key rate durations are proposed as a measure of the sensitivity of the actuarial present value due to the nonparallel shifts in mortality rates. The objectives for this thesis are to determine the best weight of surplus of life insurance to use for hedging against longevity risk, and ascertain how the mortality key rates periods should be selected for the two portfolios in order to have weighted surplus greater than zero using the natural hedging approach.en_US
dc.identifier.citationSam, C. (2016). Natural Hedging of Longevity Risk with Mortality Key Rate Durations (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/27062en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/27062
dc.identifier.urihttp://hdl.handle.net/11023/3236
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEconomics--Finance
dc.subjectStatistics
dc.subjectApplied Sciences
dc.subject.classificationMortality Rateen_US
dc.subject.classificationMortality Key Rate Durationen_US
dc.subject.classificationNatural Hedgingen_US
dc.subject.classificationLongevity Risken_US
dc.subject.classificationWeighted Surplusen_US
dc.titleNatural Hedging of Longevity Risk with Mortality Key Rate Durations
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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