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Indexed by:期刊论文

Date of Publication:2022-06-30

Journal:系统工程学报

Affiliation of Author(s):经济管理学院

Issue:2

Page Number:203-208

ISSN No.:1000-5781

Abstract:As one kind of financial derivatives, catastrophe mortality bond can be used to hedge the risk of catastrophe mortality. The principal payment of the bond is tied to a mortality index. The paper describes the jump' s frequency of stochastic mortality index and the range of the jumps by using jump-diffusion process with Poisson frequency. And the paper introduces the theory of comonotonicity to further reveal the relations between the different mortality indexes. Based on these, the paper establishes a pricing model of catastrophe mortality bond in the incomplete market through the Wang transform. Finally, an empirical study is conducted using data of China.

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