The Risk of a Mortality Catastrophe
基于美国105年人口死亡率数据，用粒子滤波模拟最大似然法估计参数，发现官方对死亡率灾难（死亡率上升15%）的年发生概率估计（约0.1%）远低于模型结果（约1.4%），对投资者和评级机构有警示意义。
We develop a continuous-time model for analyzing and valuing catastrophe mortality contingent claims based on stochastic modeling of the force of mortality. We derive parameter estimates from a 105-year time series of U.S. population mortality data using a simulated maximum likelihood approach based on a particle filter. Relying on the resulting parameters, we calculate loss profiles for a representative catastrophe mortality transaction and compare them to the “official” loss profiles that are provided by the issuers to investors and rating agencies. We find that although the loss profiles are subject to great uncertainties, the official figures fall significantly below the corresponding risk statistics based on our model. In particular, we find that the annualized incidence probability of a mortality catastrophe, defined as a 15% increase in aggregated mortality probabilities, is about 1.4%—compared to about 0.1% according to the official loss profiles.