Simulation of mortality immunization for life insurance companies in Indonesia using duration and convexity approach

Research output: Contribution to journalConference articlepeer-review

Abstract

Duration and convexity are two important factors in interest rate immunization. These two factors used to be very closely related to financial assets immunization towards change in interest rate, but some of the latest studies had applied the concept of duration and immunization in terms of mortality immunization. This paper examines 24 mortality immunization strategies that applied the duration and convexity concept in insurance portfolios which consist of life insurance and annuity products. The outcome of this study is the optimal proportion of the life insurance and annuity products for life insurance companies in Indonesia. Numeric simulations had been done using Indonesia Mortality Table 2011 (TMI-2011) to obtain the value and characteristics of the optimal proportion for two portfolios which is affected by several factors, namely the implemented strategy, mortality model, mortality model change type, age of policy holder, year of application, payment paying period, and term policies.

Original languageEnglish
Article number012082
JournalJournal of Physics: Conference Series
Volume1725
Issue number1
DOIs
Publication statusPublished - 12 Jan 2021
Event2nd Basic and Applied Sciences Interdisciplinary Conference 2018, BASIC 2018 - Depok, Indonesia
Duration: 3 Aug 20184 Aug 2018

Keywords

  • Convexity
  • Duration
  • Hedging
  • Immunization

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