Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework

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<title>Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework</title>
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<abstract displayLabel="Summary">This 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.</abstract>
<note type="statement of responsibility">Chou-Wen Wang, Sharon S. Yang</note>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
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<text>02/12/2013 Volumen 80 Número 4 - diciembre 2013 </text>
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