Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 伍卓贤教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1111/j.1539-6975.2010.01394.x |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/10WOS source URL
其它资讯
摘要A fundamental question in the study of mortality-linked securities is how to place a value on them. This is still an open question, partly because there is a lack of liquidly traded longevity indexes or securities from which we can infer the market price of risk. This article develops a framework for pricing mortality-linked securities on the basis of canonical valuation. This framework is largely nonparametric, helping us avoid parameter and model risk, which may be significant in other pricing methods. The framework is then applied to a mortality-linked security, and the results are compared against those derived from other methods.
着者Li JSH, Ng ACY
期刊名称JOURNAL OF RISK AND INSURANCE
出版年份2011
月份12
日期1
卷号78
期次4
出版社WILEY-BLACKWELL
页次853 - 884
国际标準期刊号0022-4367
电子国际标準期刊号1539-6975
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
