| Lee—Carter框架下基于Wang变换的生存债券定价研究 |
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| 引用本文： | 杨刚.Lee—Carter框架下基于Wang变换的生存债券定价研究[J].湖南商学院学报,2009,16(3):87-89. |
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| 作者姓名： | 杨刚 |
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| 作者单位： | 湖南商学院信息学院,湖南,长沙,410205 |
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| 摘 要： | 为了给人寿保险公司和退休基金套期长寿风险提供一种非传统风险转移方式,我们设计了一种以公共死亡率指数为标的的一种生存债券.通过经典的Lee-Carter模型预测死亡率指数,并利用著名的Wang变换为带息票生存债券定价.
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| 关 键 词： | 长寿风险 生存债券 Lee-Carter模型 Wang变换 |
Research on Pricing Survival Bonds Based on the Wang Transform in the Lee-Carter Framework |
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| YANG Gang.Research on Pricing Survival Bonds Based on the Wang Transform in the Lee-Carter Framework[J].Journal of Hunan Business College,2009,16(3):87-89. |
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| Authors: | YANG Gang |
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| Institution: | School of Information;HUC;Changsha;Hunan 410205 |
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| Abstract: | To supply life insurance company and pension funds with an alternative risk transfer way to hedge longevity risk,we design a kind of survival bond whose underlying is a public mortality index.The classical Lee-Carter model for mortality forecasting is used to price a coupon survivor bond via the Wang Transform. |
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| Keywords: | longevity risk survival bond Lee-Carter Model Wang Transform |
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