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The Pricing of mortality-linked contingent claims : an equilibrium approach

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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.
24514‎$a‎The Pricing of mortality-linked contingent claims‎$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.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎08/07/2013 Volumen 43 Número 2 - julio 2013