Release Time:2019-03-11  Hits:

Indexed by: Journal Article

Date of Publication: 2010-12-01

Journal: ICIC Express Letters, Part B: Applications

Included Journals: Scopus、EI

Volume: 1

Issue: 2

Page Number: 215-219

ISSN: 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.