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題名 Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the GAS Structure
作者 Chen, Hua
MacMinn, Richard D.
Sun, Tao
貢獻者 風險與保險研究中心
關鍵詞 Mortality
日期 2017-04
上傳時間 30-八月-2017 15:28:39 (UTC+8)
摘要 Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multipopulation mortality analysis, however, is still in its infancy. In this article, we present a dynamic multipopulation mortality model based on a two-factor copula and capture the time-varying dependence using the generalized autoregressive score (GAS) framework. Our model is simple and flexible in terms of model specification and is widely applicable to high dimension data. Using the Swiss Re Kortis longevity trend bond as an example, we use our model to estimate the probability distribution of principal reduction and some risk measures such as probability of first loss, conditional expected loss, and expected loss. Due to the similarity in the structure and design of CAT bonds and mortality/longevity bonds, we borrow CAT bond pricing techniques for mortality/longevity bond pricing. We find that our pricing model generates par spreads that are close to the actual spreads of previously issued mortality/longevity bonds.
關聯 Journal of Risk and Insurance, Special Edition, Vol. 84, 393-415
資料類型 article
DOI http://dx.doi.org/10.1111/jori.12214
dc.contributor 風險與保險研究中心zh_TW
dc.creator (作者) Chen, Huaen_US
dc.creator (作者) MacMinn, Richard D.en_US
dc.creator (作者) Sun, Taoen_US
dc.date (日期) 2017-04
dc.date.accessioned 30-八月-2017 15:28:39 (UTC+8)-
dc.date.available 30-八月-2017 15:28:39 (UTC+8)-
dc.date.issued (上傳時間) 30-八月-2017 15:28:39 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112303-
dc.description.abstract (摘要) Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multipopulation mortality analysis, however, is still in its infancy. In this article, we present a dynamic multipopulation mortality model based on a two-factor copula and capture the time-varying dependence using the generalized autoregressive score (GAS) framework. Our model is simple and flexible in terms of model specification and is widely applicable to high dimension data. Using the Swiss Re Kortis longevity trend bond as an example, we use our model to estimate the probability distribution of principal reduction and some risk measures such as probability of first loss, conditional expected loss, and expected loss. Due to the similarity in the structure and design of CAT bonds and mortality/longevity bonds, we borrow CAT bond pricing techniques for mortality/longevity bond pricing. We find that our pricing model generates par spreads that are close to the actual spreads of previously issued mortality/longevity bonds.en_US
dc.format.extent 818971 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Risk and Insurance, Special Edition, Vol. 84, 393-415en_US
dc.subject (關鍵詞) Mortalityen_US
dc.title (題名) Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the GAS Structureen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1111/jori.12214
dc.doi.uri (DOI) http://dx.doi.org/10.1111/jori.12214