基于双因素Wang转换方法的长寿风险债券定价研究

在比较国外经典债券设计的基础上,基于离散型死亡率模型假设,设计一种可调整上触碰点的触发型长寿债券,运用带永久跳跃的APC模型和双因素Wang转换定价方法对长寿债券进行定价,实证结果表明:在不同的参数组合下的风险溢价均处在一个合理的范围,由于模型参数多、可用死亡率数据年限短,风险溢价的结果对无风险利率等参数敏感性较高.

Pricing Longevity Bonds Using Two factor Wang Transform Approach

Based on the assumption of discrete mortality model and comparison of foreign classic bond, we design a longevity bond with adjustment upper trigger point and price the longevity bond by using the APC model with permanent jumping and double factor Wang transform.The empirical results show that risk premiums are all in a reasonable range under different combination of parameters.The result of risk premium is sensitive to the parameters such as risk free interest rate because of using the multi parameters model and lack of the available mortality data.