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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興(Hsien-Hsing Liao) | |
| dc.contributor.author | Yi-Hsin Huang | en |
| dc.contributor.author | 黃怡新 | zh_TW |
| dc.date.accessioned | 2021-06-12T18:27:37Z | - |
| dc.date.available | 2009-03-07 | |
| dc.date.copyright | 2008-03-07 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-08-08 | |
| dc.identifier.citation | References
Blake, D., A. J. G. Cairns and K. Dowd (2004). Pricing Frameworks for Security of Mortality Risk. Blake, D., A. J. G. Cairns and K. Dowd (2005). A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty. Blake, D., A. J. G. Cairns and K. Dowd (2006). Living With Mortality: Longevity Bonds And Other Mortality-Linked Securities. Presented to the Institute of Actuaries, 27 Feb 2006. Blake, D., Andrew Cairns, Kevin Dowd, Richard MacMinn (2006). Longevity Bonds: Financial Engineering, Valuation, And Hedging. The Journal of Risk and Insurance, Vol. 73, No.4, 647-672. Brown, Jeffrey R., Peter R. Orszag (2006). The Political Economy of Government-Issued Longevity Bonds. The Journal of Risk and Insurance, Vol. 73, No. 4, 611-631. Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff, and Anthony B. Saunders (1992). An Empirical Comparison of Alternative Models of Short-Term Interest Rate. Journal of Finance, Vol. 47, No. 3, 1209-1227. Cox, Samuel H., Yijia Lin, Shaun Wang (2006). Multivariate Exponential Tilting And Pricing Implications For Mortality Securitization. The Journal of Risk and Insurance, Vol. 73, No.4, 719-736. Dowd, Kevin (2003). Survivor Bonds: A Comment on Blake and Burrows. The Journal of Risk and Insurance, June 2003, Vol. 70, No.2, 339-348. Dowd, Kevin, David Blake, Andrew J.G. Cairns, Paul Dawson (2006). Survivor Swaps. The Journal of Risk and Insurance, Vol. 1, 1-17. Denuit, Michel, Pierre Devolder, Anne-Cecile Goderniaux (2007). Securitization of Longevity Risk : Pricing Survivor Bonds With Wang Transform in The Lee-Carter Framework. The Journal of Risk and Insurance, Vol. 74, No.1, 87-113. Lee, Ronald D., Lawrence R. Carter (1992). Modeling and Forecasting U.S. Mortality. Journal of the American Statistical Association, Vol. 87, No. 419, 659-671. Luciano, Elisa, Elena Vigna (2005). Non Mean Reverting Affine Processes For Stochastic Mortality. Working Paper Series. Lin, Yijia and Samuel H. Cox (2005). Mortality Securitization Modeling. Paper for The 2005 World Risk and Insurance Economics Congress Inaugural Meeting. Lin, Yijia and Samuel H. Cox (2005). Securitization of Mortality Risks in Life Annuities. The Journal of Risk and Insurance, June 2005, Vol. 72, No.2,227-252. MacMinn, Richard, Patrick Brockett, David Blake (2006). Longevity Risk And Capital Markets. The Journal of Risk and Insurance, Vol. 73, No. 4, 551-557. Wang, S. S. (2000). A Class of Distortion Operations for Pricing Financial and Insurance risks. The Journal of Risk and Insurance, Vol. 67, No.1, 15-36. Wang, S. S. (2001). A Universal Framework for Pricing Financial and Insurance risks. In XI-th AFIR Proceedings, September 6-7, 2001 Toronto, 679-703. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/27914 | - |
| dc.description.abstract | 在這篇研究中，我們利用分券的概念設計長命風險債券。首先，保險公司和特殊目的機構之間簽訂一再保險契約，這個再保險契約與合成型擔保債券憑證中的信用違約交換合約相似。特殊目的機構依照損失率的大小，將長命風險債券切割成四個不同等級的債券並予以發行給投資人。我們利用Feller過程配適美國的生命表資料衡量未來30年的長命風險，及計算在考慮長命風險的市場價格之下，轉換過後的存活機率分配。證券化分券的例子將於文中詳細介紹。 | zh_TW |
| dc.description.abstract | We utilize the securitized tranche technique to design a security for transferring longevity risk to the capital market. Our structure follows the concept of synthetic CDO. The reinsurance contract, which is similar to a CDS (Credit Default Swap), is first set between the insurer and the SPV. Then, the longevity bond is constructed and divided into four tranches according to the portfolio loss rate distribution. The longevity risk is modeling under a non mean-reverting Feller process introduced in Luciano and Vigna (2005). We value the longevity risk and calculate the transformed distribution under Wang’s method to consider the market price of longevity risk. A securitization tranching example is illustrated and the mortality information is based on the US mortality data observed in Human mortality data base. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-12T18:27:37Z (GMT). No. of bitstreams: 1 ntu-96-R94723033-1.pdf: 315372 bytes, checksum: 77c10a7908104176358f865510ef738a (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | I. Introduction 6
A. Longevity Risk 6 B. Advantages of Securitization 6 C. Mortality Linked Securities in The Market 7 D. Other Survivor Derivatives 8 E. Mortality Model 10 F. Agenda 11 II. The Stochastic Mortality Model 12 A. Survivor Probability 12 B. Calibration to the US Mortality Table 14 III. Securitization of Longevity Risk 17 A. Valuation of Longevity Risk 17 B. Wang Transform 19 C. Design of Longevity Bond 21 IV. Conclusion and Discussions 26 References 29 | |
| dc.language.iso | en | |
| dc.subject | 死力 | zh_TW |
| dc.subject | 證券化分券 | zh_TW |
| dc.subject | 長命風險證券化 | zh_TW |
| dc.subject | 長命風險 | zh_TW |
| dc.subject | 長命風險市場價格 | zh_TW |
| dc.subject | 動態死亡率模型 | zh_TW |
| dc.title | 長命風險證券化之設計 | zh_TW |
| dc.title | Securitization of Longevity Risk: Pricing under Stochastic Mortality Model with Tranching Design | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 楊曉文(Sharon S. Yang) | |
| dc.contributor.oralexamcommittee | 林煜宗(Yu-Tsung Lin),蔡政憲(Cheng-Hsien Tsai) | |
| dc.subject.keyword | 長命風險,長命風險證券化,證券化分券,死力,動態死亡率模型,長命風險市場價格, | zh_TW |
| dc.subject.keyword | Longevity risk,Longevity securitization,Tranches,Force of Mortality,Feller process,Wang’s transform, | en |
| dc.relation.page | 30 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-08-09 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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