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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/75259

    Title: The pricing of mortality-linked contingent claims: An equilibrium approach
    Authors: Tsai, Jeffrey Tzuhao;Tzeng, L.Y.
    Contributors: 風險與保險研究中心
    Keywords: Longevity risk;mortality-linked security valuation;transform normal distribution
    Date: 2013-05
    Issue Date: 2015-05-21 16:57:08 (UTC+8)
    Abstract: Abstract This study introduces an equilibrium approach to price mortality-linked securities in a discrete time economy, assuming that the mortality rate has a transformed normal distribution. This pricing method complements current studies on the valuation of mortality-linked securities, which only have discrete trading opportunities and insufficient market trading data. Like the Wang transform, the valuation relationship is still risk-neutral (preference-free) and the mortality-linked security is priced as the expected value of its terminal payoff, discounted by the risk-free rate. This study provides an example of pricing the Swiss Re mortality bond issued in 2003 and obtains an approximated closed-form solution. © 2013 by Astin Bulletin.
    Relation: ASTIN Bulletin, 43(2), 97-121
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1017/asb.2013.3
    DOI: 10.1017/asb.2013.3
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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