Pricing Longevity Bonds based on Stochastic Mortality Forecasting by Panel Data Procedures

摘要：

In order to hedge the longevity risk, longevity bonds are designed, whose payoff structure depends on the changes in mortality. To forecast the mortality more precisely, we use a time-dynamic stochastic model by utilizing a panel data approach to forecast the mortality rates and get a survival index. Empirical study is conducted with the data in China. Then we apply these forecasting mortality rates to evaluate one kind of longevity bond. It turns out that it is reliable for the social security systems and the life insurance industry.

关键词： longevity bonds survival indez stochastic mortality panel data

作者: Chengli Zheng Ting He

作者单位: School of Economics, Huazhong Normal University, Wuhan, 430079, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 333-337

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）