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Date of Publication:2012-01-01

Journal:大连理工大学学报

Affiliation of Author(s):经济管理学院

Volume:52

Issue:1

Page Number:139-145

ISSN No.:1000-8608

Abstract:In order to enhance catastrophic risk underwriting capacity of insurance
   companies,a catastrophe mortality linked bond is designed.The
   fluctuation of the random mortality is modeled by jump-diffusion process
   with Poisson frequency.The random process can describe the jump features
   of the catastrophe mortality.The correlation of mortality in different
   regions is expressed by the Gumbel Copula function.The improvements
   above make the trigger index of the catastrophe mortality bond more
   reasonable.Finally,the pricing model of catastrophe mortality bond in
   the incomplete market is established based on Wang transform.The price
   of the bond and the impact degree of corresponding factors are
   calculated by Monte Carlo simulation.Empirical results show that
   mortality index predicted by 10 000 times of Monte Carlo simulation
   agrees well with real statistics.The result is verified to be valid and
   consistent.

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