Longevity/Mortality Risk Modeling and Securities Pricing
提出一个双指数跳跃扩散模型，同时捕捉死亡率的不对称跳跃和队列效应，为摩根大通的q远期合约提供闭式定价解，有助于对冲长寿/死亡风险。
Abstract Securitizing longevity/mortality risk can transfer longevity/mortality risk to capital markets. Modeling and forecasting mortality rate is key to pricing mortality‐linked securities. Catastrophic mortality and longevity jumps occur in historical data and have an important impact on security pricing. This article introduces a stochastic diffusion model with a double‐exponential jump diffusion process that captures both asymmetric rate jumps up and down and also cohort effect in mortality trends. The model exhibits calibration advantages and mathematical tractability while better fitting the data. The model provides a closed‐form pricing solution for J.P. Morgan’s q‐forward contract usable as a building block for hedging.