考慮隨機跳躍與違約風險下對存活交換的定價

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：54

、訪客IP：18.217.6.114

姓名

陳志展(Chih-chan Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

考慮隨機跳躍與違約風險下對存活交換的定價
(Pricing Survivor Swaps with Mortality Jump and Default Risks)

相關論文

★ 最適指數複製法之自動化建置：以ETF50為例	★ 台灣公債市場與台幣利率交換交易市場動態關聯性之研究
★ 企業貸款債權證券化--信用增強探討	★ 停損點反向操作指標在台灣期貨市場實證
★ 投資型保單評價-富邦金吉利保本投資連結型遞延年金保險乙型(VANB5)	★ 停損點反向操作指標在台灣債券市場實證
★ 匯率風險值衡量之實證研究-以新台幣、日圓、英鎊、歐元匯率為例	★ 探討央行升息國內十年期指標公債未同步上升之原因
★ 信用風險模型評估—Merton模型之應用	★ 資產管理公司購買不動產擔保不良債權評價之研究
★ 股票除息對期貨與現貨報酬之影響	★ 主權基金的角色定位與未來影響力之研究
★ 我國公債期貨之研究分析	★ 用事件研究法探討希臘主權債信危機-以美國及德國公債為例
★ 企業避險及財務操作之實例探討	★ 台灣期貨市場之量價交易策略

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

摘要(中)

所謂的存活交換是指雙方簽訂一紙合約，約定在未來的數個時點交換期初約定的金額，且此金額的多寡決定於未來的死亡率（或生存率）。而所謂的訂定存活交換的價格則是指在期初決定一個固定比率的貼水，使得該交換未來雙方的現金流相同。為了要能準確訂定像存活交換這種死亡率衍生性商品，我們必須要有一個適當的死亡率預測模型。現存的大多數死亡率衍生性商品定價模型都忽略死亡率會隨機跳躍的情形，因此本篇論文運用了Cox, Lin and Wang (2006)的模型來建構考慮隨機跳躍的死亡率過程。由於本篇文章主要探討巨幅變動因子以及風險的市場價格對此貼水的影響，故假設模型中的其餘參數和Cox, Lin and Wang (2006)估計的結果相同，然後檢驗在不同的巨幅變動因子及風險的市場價格下存活交換的貼水會如何的改變。除此之外此篇文章也考慮到關於違約發生的問題，在評價交換時忽略違約風險是不合理的，因此我們利用同樣的模型並增加一個卜瓦松過程來描述違約事件，然後在不同的違約率下比較模型所求得的貼水。

摘要(英)

A survivor swap (SS) is an agreement to exchange cash flows in the future based on the mortality-dependent index. Pricing survivor swaps means to determine the fixed proportional premium which makes the initial value of the swaps is zero to each party. In order to price the mortality derivatives as SS precisely, an appropriate model to forecast mortality rate is necessary. Most of the existing mortality derivatives pricing and modeling papers ignore mortality jumps. This paper applies the Cox, Lin and Wang (2006) model to construct an individual mortality process with jumps. Because this article is interested in how jump factors and market price of risk affect premiums, it assumes that the other parameters of the model are like Cox, Lin and Wang (2006) and then examines how the premiums might vary under the different situation of jump factors and market price of risk. In addition, this article also considers that a default event may occur for the duration of a swap. It is irrational that to price a swap ignores the issue of counterparty risk. We use the same model but add a Poisson process to describe the default events, and then assume different default rates to compare the premiums.

關鍵字(中)

★ 王氏轉換
★ 違約風險
★ 死亡率隨機跳躍
★ 存活交換
★ 死亡率衍生性商品

關鍵字(英)

★ Mortality Derivative
★ Default Risk
★ Mortality Jump
★ Survivor Swap
★ Wang Transform

論文目次

1. Introduction 1
2. Literature Review 3
3. Model Settings
3.1 Definition of vanilla survivor swaps 7
3.2 Methodology of mortality simulation with mortality jump 8
3.3 A pricing model with market price of risk 11
3.4 A pricing model including default rate 13
4. Results of Monte Carlo Simulation and Analysis
4.1 Simulated survivor rates and premiums with mortality jump 16
4.2 Simulated results with market price of risk 19
4.3 Simulated results with default risk 23
5. Conclusions 25
Reference 27
Appendix: Itˆo stochastic chain rule for jump-diffusions with simple Poisson jumps 28

參考文獻

Blake, D. and W. Burrows, 2001, Survivor Bonds: Helping to Hedge Mortality Risk, Journal of Risk and Insurance, 68(2):339-348.
Blake, D., A. J. G. Cairns and K. Dowd, 2006, Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities, Working paper.
Cox, S.H., Y. Lin, and S. Wang, 2006, Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization, Journal of Risk and Insurance, 73(4):719-736.
Dowd, K., 2003, Survivor Bonds: A Comment on Blake and Burrows, Journal of Risk and Insurance, 70(2) 339-348.
Dowd, K., D. Blake, A.J.G. Cairns and P. Dawson, 2006, Survivor Swaps, Journal of Risk and Insurance, 73(1):1-17.
Hanson, F. B., Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation, source: Citeseer.IST http://citeseer.ist.psu.edu/cs
Jarrow, R. A. and F. Yu, 2001, Counterparty Risk and the Pricing of Defaultable Securities, Journal of Finance, 56(5) 1765-1798.
Lin, Y. and S.H. Cox, 2005, Securitization of Mortality Risks in Life Annuities, Journal of Risk and Insurance, 72(2):227-252.
Wang, S. S., 2000, A Class of Distortion Operators for Pricing Financial and Insurance Risks, Journal of Risk and Insurance, 67(1) 15-36.
Wang, S., 2002, A Universal Framework for Pricing Financial and Insurance Risks, ASTIN Bulletin, 32: 213-234
Wang, S., 2006, Normalized Exponential Tilting: Pricing and Measuring Multivariate Risks, Working paper, Georgia State University.

指導教授

張傳章(Chuang-chang Chang)

審核日期

2007-7-13

推文