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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/78223

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78223

Title:	PRICING SURVIVOR DERIVATIVES WITH COHORT MORTALITY DEPENDENCE UNDER THE LEE-CARTER FRAMEWORK
Authors:	Wang, Chou-Wen;Yang, Sharon S. 楊曉文
Contributors:	風險與保險研究中心
Date:	2013-12
Issue Date:	2015-09-02 17:41:36 (UTC+8)
Abstract:	This article introduces cohort mortality dependence in mortality modeling. We extend the classical Lee-Carter model to incorporate cohort mortality de-pendence by considering mortality correlations for a cohort of people born in the same year. The pattern of cohort mortality dependence is demonstrated on the basis of U.S. mortality experience. We study the effect of cohort mor-tality dependence on the pricing of survivor derivatives. For this purpose, a survivor floor is introduced. To understand the difference between a sur-vivor floor and other survivor securities, the valuation formulas for survivor swaps and survivor floors are all derived in detail and the effects of co-hort mortality dependence on pricing survivor derivatives are investigated numerically.
Relation:	Journal of Risk & Insurance, 80(4), 1027-1056
Data Type:	article
DOI link:	http://dx.doi.org/10.1111/J.1539-6975.2012.01488.X
DOI:	10.1111/J.1539-6975.2012.01488.X
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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