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    题名: Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities
    作者: Hwang,Ya-wen;Huang,Hong-Chih
    黃雅文;黃泓智
    贡献者: 風管系
    关键词: mortality model;logistic model;longevity bond;collateral debt obligation
    日期: 2009-09
    上传时间: 2010-10-06 10:39:08 (UTC+8)
    摘要: This article proposes the modified logistic mortality model as a potential moderation of current models. The fitting and forecasting effects of the proposed modified logistic mortality model are efficient for the mortality data of the United States, Japan, England and Wales, and the modified logistic model provides the best forecasting for persons older than age 30 years under MAPE criterion. In addition, this study considers how to use longevity bonds to manage longevity risk. We apply the proposed modified logistic mortality model to price the bond, and to improve the attractiveness of that bond, we design it to encompass more than one tranche, according to the concept of collateral debt obligation. This design offers investors more choices pertaining to their different risk preferences.
    關聯: Asia Pacific Journal of Risk and Insurance, 6(1), Article 4
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1515/2153-3792.1134
    DOI: 10.1515/2153-3792.1134
    显示于类别:[風險管理與保險學系] 期刊論文

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