巨灾死亡率债券定价模型研究  

Study on pricing model of catastrophe mortality bonds

作　　者：尚勤[1] 秦学志[1] 周颖颖[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《系统工程学报》2010年第2期203-208,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70771018);教育部人文社会科学基金资助项目(05JA630005);教育部新世纪优秀人才支持计划资助项目(NCET-05-0286)

摘　　要：巨灾死亡率债券是以规避巨灾死亡率风险为目的的金融衍生产品,此类债券的给付与死亡率指数相关联.利用含Poisson频率的跳跃-扩散过程刻画随机死亡率指数发生跳跃的频率与幅度,应用共同单调理论处理不同地区死亡率指数之间的相关性问题.进一步运用王氏变换(Wang transform)方法,在不完全市场中给出巨灾死亡率债券的定价模型.最后,依据我国人口死亡率数据进行实证研究.As one kind of financial derivatives, catastrophe mortality bond can be used to hedge the risk of catastrophe mortality. The principal payment of the bond is tied to a mortality index. The paper describes the jump＇ s frequency of stochastic mortality index and the range of the jumps by using jump-diffusion process with Poisson frequency. And the paper introduces the theory of comonotonicity to further reveal the relations between the different mortality indexes. Based on these, the paper establishes a pricing model of catastrophe mortality bond in the incomplete market through the Wang transform. Finally, an empirical study is conducted using data of China.

关 键 词：跳跃-扩散过程 共同单调 死亡率指数 王氏变换 不完全市场 

分 类 号：F840[经济管理—保险]