Pricing mortality securities with correlated mortality indexes
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140003549 | ||
| 003 | MAP | ||
| 005 | 20140206114815.0 | ||
| 008 | 140127e20131202esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20080014094$aLin, Yijia | |
| 245 | 1 | 0 | $aPricing mortality securities with correlated mortality indexes$cYijia Lin, Sheen Liu, Jifeng Yu |
| 520 | $aThis article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian and multivariate jump-diffusion models and models with nonanalytic observation equations. In addition, we illustrate how to price mortality securities with normalized multivariate exponential titling based on the estimated mortality correlations and jump parameters. Our results show the significance of modeling mortality correlations and transient jumps in mortality security pricing. | ||
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080574079$aTasa del riesgo | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080564322$aTarificación | |
| 700 | 1 | $0MAPA20140001873$aLiu, Sheen | |
| 700 | 1 | $0MAPA20120016477$aYu, Jifeng | |
| 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 , p. 921-948 |