The Pricing of mortality-linked contingent claims : an equilibrium approach

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<title>Pricing of mortality-linked contingent claims</title>
<subTitle>: an equilibrium approach</subTitle>
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<abstract displayLabel="Summary">This study introduces an equilibrium approach to price mortality-linked securities in a discrete time economy, assuming that the mortality rate has a transformed normal distribution. This pricing method complements current studies on the valuation of mortality-linked securities, which only have discrete trading opportunities and insufficient market trading data. Like the Wang transform, the valuation relationship is still risk-neutral (preference-free) and the mortality-linked security is priced as the expected value of its terminal payoff, discounted by the risk-free rate. This study provides an example of pricing the Swiss Re mortality bond issued in 2003 and obtains an approximated closed-form solution.</abstract>
<note type="statement of responsibility">Jeffrey T. Tsai,  Larry Y. Tzeng</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>08/07/2013 Volumen 43 Número 2 - julio 2013 </text>
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