| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20140003587 |
| 003 | | | MAP |
| 005 | | | 20140204173654.0 |
| 008 | | | 140127e20131202esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a1 |
| 100 | | | $0MAPA20110028886$aWang, Chou-Wen |
| 245 | 1 | 0 | $aPricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework$cChou-Wen Wang, Sharon S. Yang |
| 520 | | | $aThis article introduces cohort mortality dependence in mortality modeling. We extend the classical LeeCarter model to incorporate cohort mortality dependence by considering mortality correlations for a cohort of people born in the same year. The pattern of cohort mortality dependence is demonstrated on the basis of U.S. mortality experience. We study the effect of cohort mortality dependence on the pricing of survivor derivatives. For this purpose, a survivor floor is introduced. To understand the difference between a survivor floor and other survivor securities, the valuation formulas for survivor swaps and survivor floors are all derived in detail and the effects of cohort mortality dependence on pricing survivor derivatives are investigated numerically. |
| 773 | 0 | | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g02/12/2013 Volumen 80 Número 4 - diciembre 2013 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
