基于随机死亡率预测的长寿债券定价

Chengli Zheng, Ting He
{"title":"基于随机死亡率预测的长寿债券定价","authors":"Chengli Zheng, Ting He","doi":"10.1109/BIFE.2009.83","DOIUrl":null,"url":null,"abstract":"In order to hedge the longevity risk, longevity bonds are designed, whose payoff structure depends on the changes in mortality. To forecast the mortality more precisely, we use a time-dynamic stochastic model by utilizing a panel data approach to forecast the mortality rates and get a survival index. Empirical study is conducted with the data in China. Then we apply these forecasting mortality rates to evaluate one kind of longevity bond. It turns out that it is reliable for the social security systems and the life insurance industry.","PeriodicalId":133724,"journal":{"name":"2009 International Conference on Business Intelligence and Financial Engineering","volume":"30 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing Longevity Bonds Based on Stochastic Mortality Forecasting by Panel Data Procedures\",\"authors\":\"Chengli Zheng, Ting He\",\"doi\":\"10.1109/BIFE.2009.83\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In order to hedge the longevity risk, longevity bonds are designed, whose payoff structure depends on the changes in mortality. To forecast the mortality more precisely, we use a time-dynamic stochastic model by utilizing a panel data approach to forecast the mortality rates and get a survival index. Empirical study is conducted with the data in China. Then we apply these forecasting mortality rates to evaluate one kind of longevity bond. It turns out that it is reliable for the social security systems and the life insurance industry.\",\"PeriodicalId\":133724,\"journal\":{\"name\":\"2009 International Conference on Business Intelligence and Financial Engineering\",\"volume\":\"30 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-07-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2009 International Conference on Business Intelligence and Financial Engineering\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/BIFE.2009.83\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 International Conference on Business Intelligence and Financial Engineering","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/BIFE.2009.83","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

为了对冲长寿风险,设计了长寿债券,其收益结构取决于死亡率的变化。为了更准确地预测死亡率,我们采用时间动态随机模型,利用面板数据方法预测死亡率并获得生存指数。利用中国的数据进行实证研究。然后应用这些预测死亡率对一种长寿债券进行评价。事实证明,它对社会保障系统和寿险行业是可靠的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Pricing Longevity Bonds Based on Stochastic Mortality Forecasting by Panel Data Procedures
In order to hedge the longevity risk, longevity bonds are designed, whose payoff structure depends on the changes in mortality. To forecast the mortality more precisely, we use a time-dynamic stochastic model by utilizing a panel data approach to forecast the mortality rates and get a survival index. Empirical study is conducted with the data in China. Then we apply these forecasting mortality rates to evaluate one kind of longevity bond. It turns out that it is reliable for the social security systems and the life insurance industry.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信