研究期間：10208~10307;Recent increase in longevity and decrease in interest rate have increased pressures on defined benefit (DB) pension plan providers and annuity provider. Longevity risk is the tendency of individuals to live longer. According to life expectancy based on Human mortality database (HMD, 2010), the human life span has increased substantially for the past 40 years. Longevity risk has become non-negligible and recognized as one of the significant risks for pension and annuity providers. Dealing with longevity risk is now very critical and this research attempts to deal with the longevity hedging strategies and capital market solutions in the proposed three-year research projects. In year one, we propose the hedging strategy using longevity-linked securities such as q-forward contracts or longevity bonds. For such a purpose, extending from the immunization theory, we construct a mean-variance model based on the insurer's surplus process to find the optimal hedging strategy. The stochastic mortality dynamic is considered to capture the longevity risk and the valuation framework for pricing various longevity-linked securities is also derived. This research also attempts to find the optimal hedging strategy analytically. We apply Taylor expansion on the surplus process to derive the closed-form optimal solution under the mean variance approach based on the first order approximation. In year two, we carry out the longevity basis risk analysis and modeling. Because many insurers and reinsurers institute pooling policies across business and countries, the longevity risk exposure may be different in different business or population groups. Basis risk often relates to mismatches in demographics between the ‘‘exposed population’’ and the ‘‘hedging population’’ associated with the hedging instrument. Based on the unique data set of Taiwan mortality experience for annuity and life insurance policies for men and women separately, the empirical analysis of basis risk for life insurance and annuity policy are studied. In addition, we measure the basis risk for the longevity exposed business and hedging population based on Lee-Carter model, extending from Yang and Wang (2012). We further model the mortality dynamics considering basis risk. In year three, to increase the hedge effectiveness, we deals with basis risk on finding the optimal hedging strategy. Thus, we extend the mean variance hedging approach in year one and year two projects and consider the longevity basis risk to examine the hedge effectiveness. The corresponding optimal hedging strategies under the mean variance framework are derived when considering the basis risk . In addition, we will demonstrate the hedging effectiveness of these different hedging strategies and compare the effect when considering and ignoring basis risk.
