Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
| 伍卓贤教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/fut.20500 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL
其它资讯
摘要In 2007, a major investment bank launched a product called "q-forward," which may be regarded as a forward contract on a mortality rate. The pricing of mortality forwards is similar to the pricing of other forward-rate contracts, such as interest-rate forwards or foreign exchange forwards. In particular, since investors require compensation to take on longevity risk, the forward mortality rate at which q-forward contracts will trade will be smaller than the expected mortality rate. The relationship between the forward rate and the time to maturity is called a mortality forward curve. In this study, we contribute a method for calibrating mortality forward curves. This method consists of two parts, one of which is the generation of the distribution of future mortality rates, and the other of which is the transformation of the distribution into its risk-neutral counterpart, using the idea of canonical valuation developed by Stutzer, M. (http://aims.cuhk.edu.hk/converis/portal/Publication/1996). To illustrate the method, mortality forward curves for English and Welsh males are calibrated. (C) 20http://aims.cuhk.edu.hk/converis/portal/Publication/10 Wiley Periodicals, Inc. Jrl Fut Mark 3http://aims.cuhk.edu.hk/converis/portal/Publication/1:947-970, 20http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
着者Li JSH, Ng ACY, Chan WS
期刊名称Journal of Futures Markets
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
月份http://aims.cuhk.edu.hk/converis/portal/Publication/10
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号3http://aims.cuhk.edu.hk/converis/portal/Publication/1
期次http://aims.cuhk.edu.hk/converis/portal/Publication/10
出版社WILEY-BLACKWELL
页次947 - 970
国际标準期刊号0270-73http://aims.cuhk.edu.hk/converis/portal/Publication/14
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1096-9934
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
