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| 引用本文： | 郑玮,柴柯辰,钱林义.??????????????????Ч??μ???????????о?[J].应用概率统计,2014,30(1):72-83. |
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| 作者姓名： | 郑玮 柴柯辰 钱林义 |
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| 作者单位： | ?????????????????????, ????????????? |
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| 摘 要： | 本文在传统Lee-Carter人口死亡率模型的框架下,
引入同出生年人群死亡率之间的相关性效应,
从而对未来死亡率的动态变化进行更加具体的刻画.
同时借鉴Lin和Cox(2005)所提出的长寿债券构造机制,
基于中国的实际人口死亡率数据,
运用多维概率扭转变换对不完全市场下长寿债券的定价结果进行比较分析.
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| 关 键 词： | Lee-Carter ?????? ???????????. |
Research on Pricing Longevity Bonds with Cohort Mortality Dependence |
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| Zheng Wei,Chai Kechen,Qian Linyi.Research on Pricing Longevity Bonds with Cohort Mortality Dependence[J].Chinese Journal of Applied Probability and Statisties,2014,30(1):72-83. |
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| Authors: | Zheng Wei Chai Kechen Qian Linyi |
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| Institution: | School of Finance and Statistic, East China Normal University; School of Management, Fudan University |
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| Abstract: | This essay introduces cohort mortality
dependence in Lee-Carter modeling to illustrate the dynamic changes
of mortality. Using the longevity bond designation of Lin and Cox
(2005) and on the basis of Chinese mortality experience, we analyze
the pricing result of longevity bond in multivariate Wang risk measure. |
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