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Record identifier : 564916
Personal Name - Primary Intelectual Responsibility : Lehoni Nezhad,Besaran
Title and statement of responsibility : Securitizattion of mortality ricks in life annuities [Thesis]/لهونی نژاد، بی ساران;supervisor: Reza Ofoghi;advisor: Ghadir Mahdav
Publication, Distribution,Etc. : , 2011
Language of the Item : eng
Internal Bibliographies/Indexes Note : Bibliography
Dissertation of thesis details and type of degree : Master of arts
Discipline of degree : , Actuarial Science
Body granting the degree : , ECO College of Insurance
Summary or Abstract : .هدف تحقیق:بررسی بهادار سازی ریسک مرگ و میر مستمری های زندگی می باشد.یافته های تحقیق :ریسک افزایش طول عمربرای شرکت های بیمه ایر انی براساس جدول مورد استفاده فعلی وجود ندارد.نتیجه گیری وپیشنهادات :ساخت یک جدول مرگ ومیر بر اساس داده‌های واقعی در ایران ضرورت دارد
: Securitization is one of the most important innovations of modern finance. Securitization, the trading of cash flow streams, enables the parties to the contract to manage and diversify risk, to take advantage of arbitrage opportunities, or to invest in new classes of risk that enhance market efficiency. The cash flow streams to be traded often involve contingent payments as well as more predictable components which may be subject to credit and other types of counterparty risk. What we intended to do was assessment of the possibility of designing longevity risk bond to cover this risk for annuity writers in Iran. After applying Wang transform to existing life table data, we got a risk parameter that cause the transformed survivor curve lies below the given table. This means that there is no longevity risk for annuity writers in Iran, and hence there are no significant reasons to design and publish longevity bond. Of course this result does not necessarily mean that insurance companies encounter other side of mortality risk, i.e. the insureds die sooner than expected, which encourage them to design and sell mortality bonds. So comparing our findings and other studies, the suggestion of this thesis is making a real life table. This help insurers and annuity writers to assess their longevity risk precisely, and manage the hedge they will need.
Topical Name Used as Subject : securitization
: mortality risk
: life annuity
Information of biblio record : TL
 
 
 
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