同出生年死亡率相关性效应下的长寿债券定价研究

Research on Pricing Longevity Bonds with Cohort Mortality Dependence

摘要: 本文在传统Lee-Carter人口死亡率模型的框架下, 引入同出生年人群死亡率之间的相关性效应, 从而对未来死亡率的动态变化进行更加具体的刻画. 同时借鉴Lin和Cox(2005)所提出的长寿债券构造机制, 基于中国的实际人口死亡率数据, 运用多维概率扭转变换对不完全市场下长寿债券的定价结果进行比较分析.

Abstract: This essay introduces cohort mortality dependence in Lee-Carter modeling to illustrate the dynamic changes of mortality. Using the longevity bond designation of Lin and Cox (2005) and on the basis of Chinese mortality experience, we analyze the pricing result of longevity bond in multivariate Wang risk measure.