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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/75531

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75531

Title:	Price bounds of mortality-linked security in incomplete insurance market
Authors:	Huang, Y.-L.;Tsai, J.T.;Yang, Sharon S.;Cheng, H.-W. 楊曉文
Contributors:	風險與保險研究中心
Date:	2014-03
Issue Date:	2015-06-02 17:11:37 (UTC+8)
Abstract:	This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain-loss ratio of excess payoff of the mortality-linked securities. In contrast to the previous studies, the assumptions of no-arbitrage pricing and utility-based pricing are not fully employed in this study because of the incompleteness of the insurance securitization market. Instead, a framework including three insurance basis assets is constructed to search for the price bounds of mortality-linked securities and use the Swiss Re mortality catastrophe bond, issued in 2003, as a numerical example. The proposed price bounds are valuable for setting bid-asked spreads and coupon premiums, and establishing trading strategies in the raising mortality securitization markets. © 2013.
Relation:	Insurance: Mathematics and Economics, 55(1), 30-39
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.insmatheco.2013.11.008
DOI:	10.1016/j.insmatheco.2013.11.008
Appears in Collections:	[風險管理與保險學系] 期刊論文

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