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    题名: Pricing and securitization of multi-country longevity risk with mortality dependence
    作者: Yang, Sharon S.;Wang, C.-W.
    楊曉文
    贡献者: 風險與保險研究中心
    关键词: Co-integration analysis;Lee-Carter model;Longevity bond;Mortality correlation;Multivariate Wang transform;VECM model
    日期: 2013-03
    上传时间: 2015-05-21 16:57:10 (UTC+8)
    摘要: To deal with multi-country longevity risk, this article investigates the long-run equilibrium of mortality rates and introduces mortality correlations across countries as a means for pricing a multi-country longevity bond. The examination of the long-run equilibrium of the mortality rate relies on co-integration analysis, and a vector error correction model (VECM) is proposed for mortality forecasts. Mortality correlations among different countries under a VECM model are then derived. We take into account the mortality correlations across countries and utilize the multivariate Wang transform to derive the valuation formula for pricing the longevity bonds, with payoffs based on a combined weighted mortality index. This study illustrates the pattern of mortality correlations for men and women in the US and the UK, according to the Human Mortality Database. Our results show that mortality correlations across countries have a significant impact on pricing longevity bonds. © 2012 Elsevier B.V.
    關聯: Insurance: Mathematics and Economics, 52(2), 157-169
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.insmatheco.2012.10.004
    DOI: 10.1016/j.insmatheco.2012.10.004
    显示于类别:[風險管理與保險學系] 期刊論文

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