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Indexed by:期刊论文

Date of Publication:2009-04-01

Journal:INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL

Included Journals:SCIE、SSCI、Scopus

Volume:5

Issue:4

Page Number:991-1000

ISSN No.:1349-4198

Key Words:Comonotonicity; Jump-diffusion process; Mortality; Wang transform

Abstract:Based on the positive dependency characteristic of the mortality in catastrophe areas, this paper develops a pricing model for catastrophe mortality bonds with comonotonicity and the jump-diffusion process. Due to the fact that classical pricing methods are rarely suited to the hypotheses of complete markets, we use the Wang transform method to price the bond in an incomplete market, framework. The paper also carries out art empirical analysis on the price of catastrophe mortality bonds with data of Sri Lanka and Indonesia, and shows how the parameters affect. the price of the bond.