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论文类型：会议论文

发表时间：2008-01-01

收录刊物：CPCI-S

页面范围：9795-9798

关键字：longevity risk; Feller process with jumps; CIR model; Wang transform

摘要：Longevity risk is an important risk factor for payments of pension annuities. Securitization of this risk can offer great opportunities for hedging. The purpose of this article is to design longevity bonds, payments of which depend on the survival index of a certain population. Considering characteristics of the people survival and interest rates market, Feller process with jumps is used to model the death intensity to get a survival function. And the interest rate is described with Cox-Ingersoll-Ross(CIR) model. Due to the CAPM pricing methods rarely suit to the hypotheses of complete market, the paper uses Wang transform to value the bond in an incomplete market framework. Finally, empirical study is conducted with data of Chinese life table.