Economic pricing of mortality-linked securities : a tâtonnement approach

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<subfield code="a">Zhou, Rui</subfield>
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<subfield code="a">Economic pricing of mortality-linked securities</subfield>
<subfield code="b">: a tâtonnement approach</subfield>
<subfield code="c">Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan</subfield>
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<subfield code="a">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.</subfield>
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<subfield code="w">MAP20077000727</subfield>
<subfield code="t">The Journal of risk and insurance</subfield>
<subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
<subfield code="x">0022-4367</subfield>
<subfield code="g">02/03/2015 Volumen 82 Número 1 - marzo 2015 </subfield>
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