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论文类型：会议论文

发表时间：2017-01-01

收录刊物：SCIE、CPCI-SSH

页面范围：234-239

关键字：extreme mortality bonds; tranche techniques; default risk

摘要：The paper applies tranche techniques to price the extreme mortality bonds, and build a pricing model with default risk; further conduct two extreme mortality bonds pricing models with and without default by considering the contagion characteristic of default risks. Compared with the existing pricing models, our pricing model to extreme mortality tranche bonds with default risk is more in line with the objective reality of financial markets and diversified needs of investors.