The Pricing of mortality-linked contingent claims : an equilibrium approach
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20130033600 | ||
| 003 | MAP | ||
| 005 | 20131010175424.0 | ||
| 008 | 131010e20130708esp|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20110023683$aTsai, Jeffrey T. | ||
| 245 | 1 | 4 | $aThe Pricing of mortality-linked contingent claims$b: an equilibrium approach$cJeffrey T. Tsai, Larry Y. Tzeng |
| 520 | $aThis study introduces an equilibrium approach to price mortality-linked securities in a discrete time economy, assuming that the mortality rate has a transformed normal distribution. This pricing method complements current studies on the valuation of mortality-linked securities, which only have discrete trading opportunities and insufficient market trading data. Like the Wang transform, the valuation relationship is still risk-neutral (preference-free) and the mortality-linked security is priced as the expected value of its terminal payoff, discounted by the risk-free rate. This study provides an example of pricing the Swiss Re mortality bond issued in 2003 and obtains an approximated closed-form solution. | ||
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g08/07/2013 Volumen 43 Número 2 - julio 2013 |