Multi-country Mortality Modeling and Its Application in Pricing Longevity Bonds under the CBD Cohort Mortality Framework

• Main Authors: Kuen-hua Li, 李昆驊
• Other Authors: Sharon S. Yang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/89t7q2

碩士 === 國立中央大學 === 財務金融學系 === 102 === With the changing time technology and humanity, there is a tendency in making wrong prediction behavior when issuing insurance policy in traditional insurance company which results in revenue loss. In addition, the pace of insurance market has been merged with capital market that provides diverse and low risk financial commodities to investors. In the market, there are multi-countries mortality index commodities on the risk. In order to achieve risk prevention efficiently for insurance policy holders, this research paper attempts to build a framework that takes consideration of multi-countries mortality. Firstly, not only based on four group data formed by males &; females in Wales &; in Canada but also applied for Cairns’ two-factor model that takes into account of time factor, age factor, and cohort factor, the framework of Multi-Countries mortality Model is constructed. Secondly, according to MAPE and BIC, the accuracy of death prediction and the fitness of the original approach to the one used in this research paper are compared. Finally, by considering the degree to whether the mortality between countries is relevant or not, the influence that mortality and cohort effect have caused on the pricing of bonds is analyzed.