Búsqueda

Longevity bond pricing under stochastic interest rate and mortality with regime-switching

Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20130006055
003  MAP
005  20130221101046.0
008  130219e20130107esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130002439‎$a‎Shen, Yang
24510‎$a‎Longevity bond pricing under stochastic interest rate and mortality with regime-switching‎$c‎Yang Shen, Tak Kuen Siu
520  ‎$a‎We develop a flexible model to value longevity bonds which incorporates several important sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes in economic and environmental conditions. In particular, Markov, regime-switching, jump-diffusion models are used to describe stochastic movements of short-term interest rate and force of mortality. These models capture jumps in short rate and mortality rate and the impacts of economic and environmental fundamentals on their movements over time. Using the concept of stochastic flows, we derive an exponential affine form of the longevity bond price in the proposed joint stochastic interest rate and mortality models. In particular, a representation for the exponential affine form of the longevity bond price is obtained in terms of fundamental matrix solutions of linear, matrix-valued, ordinary differential equations.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎07/01/2013 Volumen 52 Número 1 - enero 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