Longevity Bond Pricing by a Cohort-based Stochastic Mortality

被引：0
|
作者：
Jho, Jae Hoon [1 ]
Lee, Kangsoo [2 ]
机构：
[1] Yeungnam Univ, Sch Int Econ & Business, 280 Daehak Ro, Gyongsan 712749, Gyeongbuk, South Korea
[2] Korea Insurance Dev Inst, Seoul, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2015年 / 28卷 / 04期
关键词：
longevity bond; cohort effect; two factor mortality model; mean reverting stochastic process; weighted least squares method; Metropolis algorithm;
D O I：
10.5351/KJAS.2015.28.4.703
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We propose an extension of the Lee and Jho (2015) mean reverting the two factor mortality model by incorporating a period-specific cohort effect. We found that the consideration of cohort effect improves the mortality fit of Korea male data above age 65. Parameters are estimated by the weighted least squares method and Metropolis algorithm. We also emphasize that the cohort effect is necessary to choose the base survival index to calculate longevity bond issue price. A key contribution of the article is the proposal and development of a method to calculate the longevity bond price to hedge the longevity risk exposed to Korea National Pension Services.
引用
下载
收藏
页码：703 / 719
页数：17
相关论文
共 50 条
  • [21] Cohort-based Kernel Visualisation with Scatter Matrices
    Romero, Enrique
    Fernandes, Ana Sofia
    Mu, Tingting
    Lisboa, Paulo J. G.
    2010 INTERNATIONAL JOINT CONFERENCE ON NEURAL NETWORKS IJCNN 2010, 2010,
  • [22] Characterizing Heterogeneity Bias in Cohort-Based Models
    Elbasha, Elamin H.
    Chhatwal, Jagpreet
    PHARMACOECONOMICS, 2015, 33 (08) : 857 - 865
  • [23] The effects of ambient temperature on non-accidental mortality in the elderly hypertensive subjects, a cohort-based study
    Qi, Xuemei
    Guo, Xiaobin
    Han, Suqin
    Xia, Xiaoshuang
    Wang, Lin
    Li, Xin
    BMC GERIATRICS, 2024, 24 (01)
  • [24] Cohort-based learning for microbiome research community standards
    Julia M. Kelliher
    Marisa Rudolph
    Pajau Vangay
    Arwa Abbas
    Mikayla A. Borton
    Emily R. Davenport
    Karen W. Davenport
    Natalia G. Erazo
    Chloe Herman
    Lisa Karstens
    Brandon Kocurek
    Holly L. Lutz
    Kevin S. Myers
    Ingrid Ockert
    Francisca E. Rodriguez
    Camille Santistevan
    Jaclyn K. Saunders
    Montana L. Smith
    Emily Vogtmann
    Amanda Windsor
    Elisha M. Wood-Charlson
    Lou Woodley
    Emiley A. Eloe-Fadrosh
    Nature Microbiology, 2023, 8 : 751 - 753
  • [25] Longevity bond premiums: The extreme value approach and risk cubic pricing
    Chen, Hua
    Cummins, J. David
    INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (01): : 150 - 161
  • [26] Pricing Longevity Risks under the Multivariate Stochastic Process with Tranche Techniques
    Shang Qin
    Qin Xue-zhi
    2010 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE), 2010, : 1158 - 1163
  • [27] Cohort-Based Analysis of Foreign Residents' Growth in Japan
    Oo, Sebal
    Tsukai, Makoto
    APPLIED SCIENCES-BASEL, 2023, 13 (04):
  • [28] Population- versus Cohort-Based Modelling Approaches
    Ethgen, Olivier
    Standaert, Baudouin
    PHARMACOECONOMICS, 2012, 30 (03) : 171 - 181
  • [29] Cohort-based learning for microbiome research community standards
    Kelliher, Julia M.
    Rudolph, Marisa
    Vangay, Pajau
    Abbas, Arwa
    Borton, Mikayla A.
    Davenport, Emily R.
    Davenport, Karen W.
    Erazo, Natalia G.
    Herman, Chloe
    Karstens, Lisa
    Kocurek, Brandon
    Lutz, Holly L.
    Myers, Kevin S.
    Ockert, Ingrid
    Rodriguez, Francisca E.
    Santistevan, Camille
    Saunders, Jaclyn K.
    Smith, Montana L.
    Vogtmann, Emily
    Windsor, Amanda
    Wood-Charlson, Elisha M.
    Woodley, Lou
    Eloe-Fadrosh, Emiley A.
    NATURE MICROBIOLOGY, 2023, 8 (05) : 751 - 753
  • [30] Enhancing Nurse Leadership Through a Cohort-Based Model
    Robinson, Denise M.
    NURSE LEADER, 2023, 21 (01) : 75 - 79
12345