极端死亡率互换的运行机制与定价模型

On the Operational Mechanism and Pricing Model of Extreme Mortality Swaps

极端死亡率互换是寿险公司和交易对手基于目标人群真实死亡率和死亡率预期值的差额定期互换一系列现金流的合约。本文阐述了极端死亡率互换的市场发展;分析了极端死亡率互换的运行机制;基于Wang转换方法推导了极端死亡率互换的定价模型;比较研究了极端死亡率互换与长寿互换的相同点与不同点。

Extreme mortality swaps are contracts of regularly exchanging a series of cash flows between life insurance companies and counterparty based on the difference between the real mortality and the expected mortality of the target population. This paper presents the market development of extreme mortality swaps and analyzes the operational mechanism of extreme mortality swaps. By employing the method of Wang transform, it derives a pricing model of extreme mortality swaps, with which the sameness and difference between extreme mortality swaps and longevity swaps are compared and studied.