长寿债券的运行机制与定价模型  

The Operational Mechanisms and Pricing Models of Longevity Bonds

作　　者：谢世清[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《财经理论与实践》2014年第2期35-39,共5页The Theory and Practice of Finance and Economics

基　　金：教育部人文社科研究规划基金项目(12YJA790152)

摘　　要：通过分析长寿债券的市场发展以及连续型和触发型两类长寿债券的运行机制,采用风险中性定价方法推导出当死亡率服从双指数跳跃(DEJD)分布时,长寿债券的定价解析式,研究发现,无论从理论还是实践看,设计并发行触发型长寿债券是一种应对长寿风险更为明智的选择。By analyzing the market development of longevity bonds and two different operational mechanisms of continuous and triggered longevity bonds, and deducing a pricing formula of longevity bonds with DEJD mortality model using risk-neutral pricing method, this paper finds that the triggered longevity bonds seem to be a more reasonable option than continuous longevity bonds to deal with longevity risk both from the theoretical and practical perspectives.

关 键 词：寿险证券化 长寿风险 长寿债券 定价模型 

分 类 号：F832[经济管理—金融学]