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題名 Price bounds of mortality-linked security in incomplete insurance market
作者 Huang, Y.-L.;Tsai, J.T.;Yang, Sharon S.;Cheng, H.-W.
楊曉文
貢獻者 風險與保險研究中心
日期 2014-03
上傳時間 2-六月-2015 17:11:37 (UTC+8)
摘要 This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain-loss ratio of excess payoff of the mortality-linked securities. In contrast to the previous studies, the assumptions of no-arbitrage pricing and utility-based pricing are not fully employed in this study because of the incompleteness of the insurance securitization market. Instead, a framework including three insurance basis assets is constructed to search for the price bounds of mortality-linked securities and use the Swiss Re mortality catastrophe bond, issued in 2003, as a numerical example. The proposed price bounds are valuable for setting bid-asked spreads and coupon premiums, and establishing trading strategies in the raising mortality securitization markets. © 2013.
關聯 Insurance: Mathematics and Economics, 55(1), 30-39
資料類型 article
DOI http://dx.doi.org/10.1016/j.insmatheco.2013.11.008
dc.contributor 風險與保險研究中心
dc.creator (作者) Huang, Y.-L.;Tsai, J.T.;Yang, Sharon S.;Cheng, H.-W.
dc.creator (作者) 楊曉文zh_TW
dc.date (日期) 2014-03
dc.date.accessioned 2-六月-2015 17:11:37 (UTC+8)-
dc.date.available 2-六月-2015 17:11:37 (UTC+8)-
dc.date.issued (上傳時間) 2-六月-2015 17:11:37 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75531-
dc.description.abstract (摘要) This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain-loss ratio of excess payoff of the mortality-linked securities. In contrast to the previous studies, the assumptions of no-arbitrage pricing and utility-based pricing are not fully employed in this study because of the incompleteness of the insurance securitization market. Instead, a framework including three insurance basis assets is constructed to search for the price bounds of mortality-linked securities and use the Swiss Re mortality catastrophe bond, issued in 2003, as a numerical example. The proposed price bounds are valuable for setting bid-asked spreads and coupon premiums, and establishing trading strategies in the raising mortality securitization markets. © 2013.
dc.format.extent 693238 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Insurance: Mathematics and Economics, 55(1), 30-39
dc.title (題名) Price bounds of mortality-linked security in incomplete insurance market
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.insmatheco.2013.11.008
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.insmatheco.2013.11.008