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Indexed by:期刊论文

Date of Publication:2010-12-01

Journal:ICIC Express Letters, Part B: Applications

Included Journals:EI、Scopus

Volume:1

Issue:2

Page Number:215-219

ISSN No.:21852766

Abstract:The purpose of this paper is to develop a pricing model for catastrophe mortality bonds in an incomplete market framework. The mortality index of the bond is designed with jump-diffusion process and Copula function. The improvement nicelg describes mortality jumps and the correlation among mortalities of different regions. Moreover, this paper provides a tranche method to price the catastrophe mortality bond under two-factor Wang transform, and conducts an empirical study using data of major quake-hit areas in Wenchuan China earthquake. ICIC International ? 2010.