| dc.contributor | 風險與保險研究中心 | |
| dc.creator (作者) | Wang, Chou-Wen;Yang, Sharon S. | |
| dc.creator (作者) | 楊曉文 | zh_TW |
| dc.date (日期) | 2013-12 | |
| dc.date.accessioned | 2-Sep-2015 17:41:36 (UTC+8) | - |
| dc.date.available | 2-Sep-2015 17:41:36 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Sep-2015 17:41:36 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78223 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 15196123 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Risk & Insurance, 80(4), 1027-1056 | |
| dc.title (題名) | PRICING SURVIVOR DERIVATIVES WITH COHORT MORTALITY DEPENDENCE UNDER THE LEE-CARTER FRAMEWORK | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1111/J.1539-6975.2012.01488.X | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/J.1539-6975.2012.01488.X | |
