极端死亡率债券的运行机制与定价模型

极端死亡率债券是票息或面值与极端死亡概率相关的债券，能够将寿险公司所面临的极端死亡率风险转移到资本市场。本文阐述了极端死亡率债券的市场发展，包括发行规模、触发机制、债券期限、债券分层、债券评级等，分析了以 Tartan 债券为代表的本金赔付累积型极端死亡率债券的运行机制，并给出了考虑极端死亡率风险的跳跃性特征下的本金赔付累积型极端死亡率债券 Wang 转换定价的解析式。

The Operational Mechanism and Pricing Model of Extreme Mortality Bonds

Extreme mortality bonds (EMBs)refer to the bonds whose principals vary with mortality index due to the extreme mortality risk.This paper presents the EMB market develop-ment from the perspectives of issue scale,trigger mechanism,bond maturity,tranche and bond rating;analyzes the payment mechanism of cumulative principal of the EMBs based on the Tartan bond issued by Scottish Re in 2006;derives an analytical formula of pricing the EMBs based on a single factor Wang transfer method considering the j ump diffusion of mortality risk.