Securitization of catastrophe mortality risk using gumbel Copula and tranche methods
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论文类型：期刊论文
发表时间：2010-12-01
发表刊物：ICIC Express Letters, Part B: Applications
收录刊物：Scopus、EI
卷号：1
期号：2
页面范围：215-219
ISSN号：21852766
摘要：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.