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System and Method for Longevity/Mortality Derivatives Pricing and Risk Management
System and Method for Longevity/Mortality Derivatives Pricing and Risk Management
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机译：长寿/抵押品衍生产品定价和风险管理的系统和方法
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摘要
A computer-implemented method and system which can be used for assessing and quantifying the longevity (mortality) risk and pricing the longevity (mortality) derivatives by using Asymmetric Jump Diffusion (AJD) Model is disclosed. Longevity risk (Mortality risk), which is defined as the uncertainty associated with the overestimation (underestimation) of the mortality rate, is faced by annuity providers, pension funds and life insurers. The AJD method and system, composed of means, introduce an appropriate probability density function at higher accuracy to capturing the leptokurtosis feature and the asymmetric jump feature of the mortality rate risk. The method and system include means for decomposing the mortality rate, means for capturing the time-specific indicator trend feature; means for calibrating the AJD model by Maximum Likelihood Estimation (MLE) procedure, means for projecting future mortality rate by Monte-Carlo simulation and means for pricing the derivatives with implied market price of risk.
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