Pricing mortality securities with correlated mortality indexes

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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20080014094‎$a‎Lin, Yijia
24510‎$a‎Pricing mortality securities with correlated mortality indexes‎$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
7001 ‎$0‎MAPA20140001873‎$a‎Liu, Sheen
7001 ‎$0‎MAPA20120016477‎$a‎Yu, Jifeng
7730 ‎$w‎MAP20077000727‎$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