• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The journal of risk and insurance >Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure
【24h】

Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure

机译：死亡率依赖性和长寿债券定价：具有GAS结构的动态因子Copula死亡率模型

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multipopulation mortality analysis, however, is still in its infancy. In this article, we present a dynamic multipopulation mortality model based on a two-factor copula and capture the time-varying dependence using the generalized autoregressive score (GAS) framework. Our model is simple and flexible in terms of model specification and is widely applicable to high dimension data. Using the Swiss Re Kortis longevity trend bond as an example, we use our model to estimate the probability distribution of principal reduction and some risk measures such as probability of first loss, conditional expected loss, and expected loss. Due to the similarity in the structure and design of CAT bonds and mortality/longevity bonds, we borrow CAT bond pricing techniques for mortality/longevity bond pricing. We find that our pricing model generates par spreads that are close to the actual spreads of previously issued mortality/longevity bonds.
机译：对多个人群的死亡率依赖性进行建模对死亡率/寿命风险管理具有重要意义。评估多变量依赖性的自然方法是使用copula模型。 copula模型在多种群死亡率分析中的应用尚处于起步阶段。在本文中，我们提出了一个基于两因素copula的动态多种群死亡率模型，并使用广义自回归评分（GAS）框架捕获了时变依赖性。我们的模型在模型规格方面既简单又灵活，并且广泛适用于高维数据。以Swiss Re Kortis长寿趋势债券为例，我们使用模型来估计本金减少的概率分布以及一些风险度量，例如首次损失的概率，有条件的预期损失和预期损失。由于CAT债券和死亡率/长寿债券在结构和设计上的相似性，我们借用CAT债券定价技术来确定死亡率/长寿债券。我们发现，我们的定价模型所产生的票面息差接近于先前发行的死亡率/长寿债券的实际息差。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号