Zheng Wei, Chai Kechen, Qian Linyi. Research on Pricing Longevity Bonds with Cohort Mortality Dependence[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(1): 72-83.
Citation: Zheng Wei, Chai Kechen, Qian Linyi. Research on Pricing Longevity Bonds with Cohort Mortality Dependence[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(1): 72-83.
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Research on Pricing Longevity Bonds with Cohort Mortality Dependence

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  • 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.
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