Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/78223
DC Field | Value | Language |
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dc.contributor | 風險與保險研究中心 | |
dc.creator | Wang, Chou-Wen;Yang, Sharon S. | |
dc.creator | 楊曉文 | zh_TW |
dc.date | 2013-12 | |
dc.date.accessioned | 2015-09-02T09:41:36Z | - |
dc.date.available | 2015-09-02T09:41:36Z | - |
dc.date.issued | 2015-09-02T09:41:36Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/78223 | - |
dc.description.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. | |
dc.format.extent | 15196123 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Journal of Risk & Insurance, 80(4), 1027-1056 | |
dc.title | PRICING SURVIVOR DERIVATIVES WITH COHORT MORTALITY DEPENDENCE UNDER THE LEE-CARTER FRAMEWORK | |
dc.type | article | en |
dc.identifier.doi | 10.1111/J.1539-6975.2012.01488.X | |
dc.doi.uri | http://dx.doi.org/10.1111/J.1539-6975.2012.01488.X | |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | restricted | - |
item.openairetype | article | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
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1027-1056.pdf | 14.84 MB | Adobe PDF2 | View/Open |
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