主 题：Mortality-linked Securities: Pricing and Applications
主讲人：加拿大滑铁卢大学Ken Seng Tan教授
主持人：统计学院 鲁万波教授
时 间：2015年4月14日上午10：00-11：30
地 点：通博楼B212学术会议室
主办单位：统计学院 科研处
主讲人简介：
加拿大滑特卢大学（University of Waterloo）统计与精算系风险管理定量分析首席教授，Waterloo保险与定量金融研究所副主任，教育部****讲座教授，发表了多篇金融和精算学的高水平学术论文，曾获得多项学术奖励，包括1996-1997年度的Redington Prize、2001和2003北美精算杂志年度奖。他与Phelim Boyle和Corwin Joy合作完成的成果，被北美精算师协会投资委员会评为50年来在投资领域最有贡献的7篇论文之一。
内容摘要：
Over the last 100 years, life expectancies have increased at the rate of approximately 2.5 years per decade. The enormous improvement in life expectancy is certainly one of the greatest achievements of modern civilization, but unanticipated mortality improvements can pose huge problems to individuals, corporations and governments. In recent years, longevity risk, that is, the uncertainty associated with future mortality improvements, has become a high profile risk. In this presentation, we discuss how mortality-linked securities can be used to manage mortality (or longevity) risk. In particular, we present an economic framework for pricing such securities. We treat the pricing work as a Walrasian tatonnement process, in which prices are determined through a gradual calibration of supply and demand. Such a pricing framework provides a pair of supply and demand curves. From these curves we can determine if there will be any trade between the counterparties, and if there will, at what price will the mortality-linked security be traded. We illustrate the proposed pricing framework with a hypothetical mortality-linked security and mortality data from the US population.
