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https://ah.lib.nccu.edu.tw/handle/140.119/78223
題名: | PRICING SURVIVOR DERIVATIVES WITH COHORT MORTALITY DEPENDENCE UNDER THE LEE-CARTER FRAMEWORK | 作者: | Wang, Chou-Wen;Yang, Sharon S. 楊曉文 |
貢獻者: | 風險與保險研究中心 | 日期: | Dec-2013 | 上傳時間: | 2-Sep-2015 | 摘要: | 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. | 關聯: | Journal of Risk & Insurance, 80(4), 1027-1056 | 資料類型: | article | DOI: | http://dx.doi.org/10.1111/J.1539-6975.2012.01488.X |
Appears in Collections: | 期刊論文 |
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1027-1056.pdf | 14.84 MB | Adobe PDF2 | View/Open |
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