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同出生年死亡率相关性效应下的长寿债券定价研究 被引量：3

Research on Pricing Longevity Bonds with Cohort Mortality Dependence
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摘要 本文在传统Lee-Carter人口死亡率模型的框架下,引入同出生年人群死亡率之间的相关性效应,从而对未来死亡率的动态变化进行更加具体的刻画.同时借鉴Lin和Cox(2005)所提出的长寿债券构造机制,基于中国的实际人口死亡率数据,运用多维概率扭转变换对不完全市场下长寿债券的定价结果进行比较分析. This essay introduces cohort mortality dependence in Lee-Carter modeling to illustrate the dynamic changes of mortality. Using the longevity bond designation of Lin and Cox （2005） and on the basis of Chinese mortality experience, we analyze the pricing result of longevity bond in multivariate Wang risk measure.
作者 郑玮 柴柯辰 钱林义
机构地区 华东师范大学金融与统计学院 复旦大学管理学院
出处 《应用概率统计》 CSCD 北大核心 2014年第1期72-83,共12页 Chinese Journal of Applied Probability and Statistics
基金 国家自然科学基金青年基金(11301189)资助
关键词 Lee-Carter 长寿债券 死亡率相关性 Lee-Carter, longevity bond, mortality Dependence
分类号 F840.6 [经济管理—保险]
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参考文献18

  • 1Blake, D. and Burrows, W., Survivor bonds: helping to hedge mortality risk, The Journal of Risk and Insurance, 68(2)(2001), 339-348.
  • 2Brouhns, N., Denuit, M. and Vermunt, J.K., A Poisson log-bilinear regression approach to the con- struction of projected lifetables, Insurance: Mathematics and Economies, 31(2)(2002), 373-393.
  • 3Wang, C.W., and Yang, S.S., Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework, The Journal of Risk and Insurance, 80(4)(2013), 1027- - 1056.
  • 4Cox, S.H., Lin, Y. and Wang, S., Multivariate exponential tilting and pricing implications for mor- tality securitization, The Journal of Risk and Insurance, 73(4)(2006), 719-736.
  • 5Forfar, D.O. and Smith, D.M., The changing shape of English life tables, Transactions of the Faculty of Actuaries, 40(1)(1987), 98-134.
  • 6Gompertz, B., On the nature of the function expressive of the law of human mortality, and on a new mode of deterrmining the value of life contingencies, Philosophical Transactions of the Royal Society, 115(1825), 513-583.
  • 7Wilmoth, J.R., Mortality projections for Japan: a comparison of four methods, Health and Mortality Among Elderly Populations, Oxford University, Oxford University Press, 1996, 266-287.
  • 8Lee, R.D., The Lee - Carter method of forecasting mortality, with various extensions and applications (with discussion), North American Actuarial Journal, 4(1)(2000), 80-93.
  • 9Lee, R.D. and Rofman, R., Modeling and projecting mortality in Chile, Notas Poblacion, 22(59) (1994), 183-213.
  • 10Lee, R.D. and Carter, L., Modelling and forecasting the time series of us mortality, Journal of the American Statistical Association, 87(419)(1992), 659-671.

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应用概率统计
2014年 第1期

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