کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077247 | 1374123 | 2010 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing longevity risk with the parametric bootstrap: A maximum entropy approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
In recent years, there has been significant development in the securitization of longevity risk. Various methods for pricing longevity risk have been proposed. In this paper we present an alternative pricing method, which is based on the maximization of the Shannon entropy in physics. Specifically, we propose implementing this pricing method with the parametric bootstrap (Brouhns et al., 2005), which is highly flexible and can be performed under different model assumptions. Through this pricing method we also quantify the impact of cohort effects and parameter uncertainty on prices of mortality-linked securities. Numerical illustrations based on longevity bonds with different maturities are provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 47, Issue 2, October 2010, Pages 176-186
Journal: Insurance: Mathematics and Economics - Volume 47, Issue 2, October 2010, Pages 176-186
نویسندگان
Johnny Siu-Hang Li,