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

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20140003587</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20140204173654.0</controlfield>
    <controlfield tag="008">140127e20131202esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">1</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20110028886</subfield>
      <subfield code="a">Wang, Chou-Wen</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework</subfield>
      <subfield code="c">Chou-Wen Wang, Sharon S. Yang</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">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.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">02/12/2013 Volumen 80 Número 4 - diciembre 2013 </subfield>
    </datafield>
    <datafield tag="856" ind1=" " ind2=" ">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">mailto: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</subfield>
    </datafield>
  </record>
</collection>