| Summary: | 碩士 === 國立高雄大學 === 統計學研究所 === 97 === Lee-Carter model (Lee and Carter (1992)) is the most popular mortality model recently. However, mortality improvement and catastrophe mortality are also the important factors when insurance company prices the insurance policy. Therefore, this research considers the mortality improvement model and the mortality model and uses the mortality rate data of UK to estimate the parameters. From the empirical result, we can find the younger is more sensitive to the variation in the level of mortality over time. Thus there exist more violent jumps. And the mortality improvement is decreasing with the increasing age. Moreover, this research considers the inter-age dependences to price the Swiss Re mortality bond. And to discuss that the basis risk caused by the implied market prices of risk under the different weights of gender and age between the Swiss Re mortality bond and insurance company. The numerical analysis results the inter-age dependence risk is the largest when the inter-age dependences are zeros. Besides, the basis risk is larger relatively when the elder is distributed to the larger weight, and the different age weights between the Swiss Re mortality bond and insurance company also lead to the basis risk emerge. This research also proposes that the inter-age dependence risk dominates the basis risk on the implied market prices of risk.
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