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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/78216

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题名:	Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach
作者:	Wang, Chou-Wen;Yang, Sharon S.;Huang, Hong-Chih 王昭文;楊曉文;黃泓智
贡献者:	金融系;風險與保險研究中心;風管系
关键词:	Dynamic copula;Mortality dependence;Non-Gaussian distributions;Stochastic mortality model;Survivor swaps
日期:	2015-07
上传时间:	2015-09-02 17:07:30 (UTC+8)
摘要:	This paper introduces mortality dependence in multi-country mortality modeling using a dynamic copula approach. Specifically, we use time-varying copula models to capture the mortality dependence structure across countries, examining both symmetric and asymmetric dependence structures. In addition, to capture the phenomenon of a heavy tail for the multi-country mortality index, we consider not only the setting of Gaussian innovations but also non-Gaussian innovations under the Lee–Carter framework model. As tests of the goodness of fit of different dynamic copula models, the pattern of mortality dependence, and the distribution of the innovations, we used empirical mortality data from Finland, France, the Netherlands, and Sweden. To understand the effect of mortality dependence on longevity derivatives, we also built a valuation framework for pricing a survivor index swap, then investigated the fair swap rates of a survivor swap numerically. We demonstrate that failing to consider the dynamic copula mortality model and non-Gaussian innovations would lead to serious underestimations of the swap rates and loss reserves.
關聯:	Insurance: Mathematics & Economics, 63, 30-39
数据类型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.insmatheco.2015.03.019
DOI:	10.1016/j.insmatheco.2015.03.019
显示于类别:	[金融學系] 期刊論文

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