dc.contributor.author | Mugi, irene w | |
dc.date.accessioned | 2020-03-04T12:41:54Z | |
dc.date.available | 2020-03-04T12:41:54Z | |
dc.date.issued | 2019 | |
dc.identifier.uri | http://erepository.uonbi.ac.ke/handle/11295/108860 | |
dc.description.abstract | Mortality risk posses a huge risk in insurance companies.It is therefore crucial to continuously
Carry out research relating to this risk. In this paper mortality risk components
Systematic, unsystematic,adverse selection and basis risk which results from hedging
Longevity risk are studied broadly. The e ects of this risk’s components in risk managements
In life insurance company is demonstrated.
An insurance company with a portfolio of annuity and term life assurance is used in the
Study. U.S.A data has been used to carry out various analysis, it is obtained from human
Mortality database(hmd) and projected through demographic package available in r
Programming language.The projections and actuarial present values (apv) are computed
Using the extension of the lee-carter (1992) model proposed by brouhns, denuit, and
Vermunt (2002a).Lee-carter (1992) propose to t an appropriate auto regressive integrated
Moving average(arima) process on the estimated time series of the time index.The projections
Are done using arima (0, 1,0) model(random walk with a drift). Various risk
Management tools are widely discussed. This includes the transfer of mortality risk to
Capital market through mortality contingent bond(mcb) and natural hedging.
The default risk measurement tools which comprise of probability of default which measures
The frequency of default and the expected mean loss which re ects the amount by
Which the assets are not su cient to cover liabilities(average amount of money necessary
For funding a case of default during the contract term)are discussed. Probability of default
And the mcb are used to display the e ects of mortality risk in risk management. From
This study, it is evident that the various mortality risk components have an e ect in pricing
And valuation if they are misestimated. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of Nairobi | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | mortality and longevity risk | en_US |
dc.title | Effects of mortality and longevity risk in risk management in life insurance companies | en_US |
dc.type | Thesis | en_US |
dc.contributor.supervisor | Weke, Patrick GO | |