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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/108983
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/108983

    Title: Valuations of Mortality-Linked Structured Products
    Authors: 岳夢蘭
    Yueh, Meng-Lan;Chiu, Hsin-Yu;Tsai, Shou-Hsun
    Contributors: 財管系
    Date: 2016-12
    Issue Date: 2017-04-20 14:45:48 (UTC+8)
    Abstract: Medical advances have extended the average lifespan and seem poised to eliminate, or at least substantially moderate, death rates from major diseases like AIDS and cancer. But at the same time they have introduced major “longevity risk” for life insurers and issuers of annuity products. One way this exposure can be managed is by issuing structured debt securities in which the investor bears some of the risk. In this article, Yueh, Chiu, and Tsai review several basic structures in which either the coupon or the principal repayment depends on the realized value of a mortality index. They develop valuation models for mortality calls and puts, and explore the sensitivity to changes in parameter values.
    Relation: Journal of Derivatives, 24(2), 66-87
    Data Type: article
    DOI 連結: http://dx.doi.org/10.3905/jod.2016.24.2.066
    DOI: 10.3905/jod.2016.24.2.066
    Appears in Collections:[財務管理學系] 期刊論文

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