基于Cameron-Martin-Girsanov理论的长寿债券定价模型  

Pricing Longevity Bonds based on the Cameron-Martin-Girsanov Theory

作　　者：尚勤[1] 张国忠[1] 胡友群[1] 秦学志[1] 

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《系统管理学报》2013年第4期472-476,486,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71101015;71171032);教育部博士点基金资助项目(20090041110009);中央高校基本科研业务费资助项目(DUT12RW422;DUT11RW202);教育部人文社科青年基金资助项目(10YJC630401)

摘　　要：针对现有长寿债券定价研究中存在的不足,利用Cameron-Martin-Girsanov理论构建长寿债券定价模型,避免了Wang变换方法的主要缺欠,进一步减小了市场不完全性对定价准确性的影响。同时,为满足不同风险偏好投资者的需求,利用分层技术对长寿债券进行分层定价,克服了现有定价模型风险承担模式单一的问题。所构建的长寿债券定价模型较已有模型更加符合金融市场的客观实际和投资者的多样化需求,在一定程度上有助于推进我国长寿风险管理效率的提高。With respect to the shortcomings of existing research on the longevity bonds pricing, we build a longevity bond pricing model by using Cameron-Martin-Girsanov theory. The pricing model avoids the main shortcomings of the Wang transform, and further reduces the impact of incomplete markets on the pricing accuracy. At the same time, in order to meet the demand of investors with different risk preferences, we use the tranches techniques to price the longevity bonds. The method releases the limitations of the existing pricing model with the single loss risk. Compared with the existing results, the proposed model is more in line with the objective reality of the financial markets and diverse needs of investors. To some extent, the results may enhance the efficiency of the management of longevity risk in China.

关 键 词：Cameron-Martin-Girsanov理论 长寿债券 生存指数 不完全市场 

分 类 号：F840[经济管理—保险]