Economic pricing of mortality-linked securities : a tâtonnement approach

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<title>Economic pricing of mortality-linked securities</title>
<subTitle>: a tâtonnement approach</subTitle>
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<abstract displayLabel="Summary">In previous research on pricing mortality-linked securities, the no-arbitrage approach is often used. However, this approach, which takes market prices as given, is difficult to implement in today's embryonic market where there are few traded securities. In this article, we tackle the pricing problem from a different angle by considering methods that are more related to fundamental economic concepts. Specifically, we treat the pricing work as aWalrasian tâtonnement process, in which prices are determined through a gradual calibration of supply and demand. We illustrate the proposed pricing framework with a hypothetical mortality-linked security and mortality data from the U.S. population.</abstract>
<note type="statement of responsibility">Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan</note>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
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<text>02/03/2015 Volumen 82 Número 1 - marzo 2015 </text>
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