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

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      <subfield code="a">Tsai, Jeffrey T.</subfield>
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      <subfield code="a">The Pricing of mortality-linked contingent claims</subfield>
      <subfield code="b">: an equilibrium approach</subfield>
      <subfield code="c">Jeffrey T. Tsai,  Larry Y. Tzeng</subfield>
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      <subfield code="a">This 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.</subfield>
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      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">08/07/2013 Volumen 43 Número 2 - julio 2013 </subfield>
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