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个人信息Personal Information
教授
博士生导师
硕士生导师
性别：男
毕业院校：大连理工大学
学位：博士
所在单位：金融与会计研究所
学科：投资学. 管理科学与工程
办公地点：经济管理学院D635
联系方式：qinxz@dlut.edu.cn
电子邮箱：qinxz@dlut.edu.cn
DESIGN OF CATASTROPHE MORTALITY BONDS BASED ON THE COMONOTONICITY THEORY AND JUMP-DIFFUSION PROCESS
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论文类型：期刊论文
发表时间：2009-04-01
发表刊物：INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL
收录刊物：SCIE、SSCI、Scopus
卷号：5
期号：4
页面范围：991-1000
ISSN号：1349-4198
关键字：Comonotonicity; Jump-diffusion process; Mortality; Wang transform
摘要：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.