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題名 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
貢獻者 金融系;風險與保險研究中心;風管系
關鍵詞 Dynamic copula;Mortality dependence;Non-Gaussian distributions;Stochastic mortality model;Survivor swaps
日期 2015-07
上傳時間 2-Sep-2015 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
資料類型 article
DOI http://dx.doi.org/10.1016/j.insmatheco.2015.03.019
dc.contributor 金融系;風險與保險研究中心;風管系
dc.creator (作者) Wang, Chou-Wen;Yang, Sharon S.;Huang, Hong-Chih
dc.creator (作者) 王昭文;楊曉文;黃泓智zh_TW
dc.date (日期) 2015-07
dc.date.accessioned 2-Sep-2015 17:07:30 (UTC+8)-
dc.date.available 2-Sep-2015 17:07:30 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2015 17:07:30 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78216-
dc.description.abstract (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.
dc.format.extent 444776 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Insurance: Mathematics & Economics, 63, 30-39
dc.subject (關鍵詞) Dynamic copula;Mortality dependence;Non-Gaussian distributions;Stochastic mortality model;Survivor swaps
dc.title (題名) Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.insmatheco.2015.03.019
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.insmatheco.2015.03.019