Pricing Mortality Securities With Correlated Mortality Indexes
提出了一个捕捉跨国死亡率相关性和共同冲击的随机模型，用粒子滤波估计参数，并基于估计结果对死亡率证券定价，发现建模相关性和跳跃很重要。
A BSTRACT This article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non‐Gaussian and multivariate jump‐diffusion models and models with nonanalytic observation equations. In addition, we illustrate how to price mortality securities with normalized multivariate exponential titling based on the estimated mortality correlations and jump parameters. Our results show the significance of modeling mortality correlations and transient jumps in mortality security pricing.