經濟供需模型評價死亡率債券;Use Economic Method “Tˆatonnement Approach” Pricing Mortality-Linked Securities

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Title:	經濟供需模型評價死亡率債券;Use Economic Method “Tˆatonnement Approach” Pricing Mortality-Linked Securities
Authors:	龎珺文;Pang,Chun-Wen
Contributors:	財務金融學系
Keywords:	供需模型;長壽風險;死亡率證券化商品;Tˆatonnement process;longevity risk;Mortality-Linked Securities
Date:	2014-08-26
Issue Date:	2014-10-15 15:30:07 (UTC+8)
Publisher:	國立中央大學
Abstract:	隨著經濟發展與科技成長，近幾年來國民平均餘命逐漸上升。死亡率改善的現象下使的保險以及再保公司面臨死亡率不確定性，為了規避死亡率風險，資本市場上也漸漸發展出死亡率證券化商品。常見的評價死亡率證券化商品方法為無套利訂價模型，然而使用此種方法需要市場價格，然而在現今正在萌芽的市場上，市場交易量較少。因此本篇參考Zhou,Li,and Tan(2013)的方法，用經濟角度看死亡率債券價格。運用 “tˆatonnement process” 反覆運算下，使得供給等於需求，最後推算出均衡價格。本文參考2003年瑞士再保公司發行的死亡率債券架構，使用Cairns, Blake, and Dowd (2006)雙因子死亡率模型配飾死亡率，比較經濟供需模型與無套利訂價模型。;Through the economics and technology improvement, the average of life expectancy is more and more. The improvement of mortality rate let insurance company and re-insurance company face the uncertainty of mortality rate of the future. So it’s comes the Mortality-Linked Securities. But how to pricing Mortality-Linked Securities is a problem, at first arbitrage pricing method is a normal way to pricing Mortality-Linked Securities. Arbitrage pricing method need market value, but nowadays few security had been traded, it lack of market value. This paper refer Zhou,Li,and Tan(2013), use economic “tˆatonnement process” model, let supply equal demand and then have Equilibrium price. This paper compare the result of Arbitrage pricing method and the economics “tˆatonnement process”method.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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