Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond
碩士 === 國立清華大學 === 計量財務金融學系 === 102 === The advancement of technology and medical treatment technique leads to the decline of mortality rapidly and the increase of life expectancy of population over the years. Therefore, life insurance companies face a huge longevity risk as issuing relevant insuranc...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2014
|
Online Access: | http://ndltd.ncl.edu.tw/handle/8s2g5z |
id |
ndltd-TW-102NTHU5304001 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-102NTHU53040012019-05-15T21:13:57Z http://ndltd.ncl.edu.tw/handle/8s2g5z Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond 長壽風險債券評價比較-以EIB Longevity Bond為例 Chang, Ya-Chun 張雅鈞 碩士 國立清華大學 計量財務金融學系 102 The advancement of technology and medical treatment technique leads to the decline of mortality rapidly and the increase of life expectancy of population over the years. Therefore, life insurance companies face a huge longevity risk as issuing relevant insurance contracts. In order to reduce longevity risk, life insurance companies usually use longevity risk securitization in the financial markets, and transform it into longevity risk derivatives. The purpose of securitization is to transfer longevity risk. The underlying index of the insurance-linked securities is associated with the survival index, which is made up and adjusted by the mortality model. Longevity bonds are also classified as mortality-linked derivatives. As a result, to accurately predict future mortality has been pivotal to price those securities. This article discusses the mortality forecast and bond valuation. First we uses Lee-Carter model with extreme value theorem and bootstrap method to forecast future mortality. Second we apply Wang transform valuation and Canonical valuation to calculate the fair value as well as risk premium of the EIB/BNP longevity bond(2004)issued by European Investment Bank respectively. It could be a reference for the following study of pricing longevity bond. This paper mainly has two contributions:First of all, on the basis of historical data, we adopt the Lee-Carter model with extreme value theorem and bootstrap method to simulate the future mortality paths and distributions. Second, we calculated the implied market risk premium of longevity bond to evaluate the rationality of longevity bond pricing. Tsai, Tzu-Hao 蔡子晧 2014 學位論文 ; thesis 46 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立清華大學 === 計量財務金融學系 === 102 === The advancement of technology and medical treatment technique leads to the decline of mortality rapidly and the increase of life expectancy of population over the years. Therefore, life insurance companies face a huge longevity risk as issuing relevant insurance contracts. In order to reduce longevity risk, life insurance companies usually use longevity risk securitization in the financial markets, and transform it into longevity risk derivatives. The purpose of securitization is to transfer longevity risk. The underlying index of the insurance-linked securities is associated with the survival index, which is made up and adjusted by the mortality model. Longevity bonds are also classified as mortality-linked derivatives. As a result, to accurately predict future mortality has been pivotal to price those securities.
This article discusses the mortality forecast and bond valuation. First we uses Lee-Carter model with extreme value theorem and bootstrap method to forecast future mortality. Second we apply Wang transform valuation and Canonical valuation to calculate the fair value as well as risk premium of the EIB/BNP longevity bond(2004)issued by European Investment Bank respectively. It could be a reference for the following study of pricing longevity bond.
This paper mainly has two contributions:First of all, on the basis of historical data, we adopt the Lee-Carter model with extreme value theorem and bootstrap method to simulate the future mortality paths and distributions. Second, we calculated the implied market risk premium of longevity bond to evaluate the rationality of longevity bond pricing.
|
author2 |
Tsai, Tzu-Hao |
author_facet |
Tsai, Tzu-Hao Chang, Ya-Chun 張雅鈞 |
author |
Chang, Ya-Chun 張雅鈞 |
spellingShingle |
Chang, Ya-Chun 張雅鈞 Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond |
author_sort |
Chang, Ya-Chun |
title |
Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond |
title_short |
Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond |
title_full |
Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond |
title_fullStr |
Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond |
title_full_unstemmed |
Compare Longevity Bond Valuation Approaches:A Case Study of EIB Longevity Bond |
title_sort |
compare longevity bond valuation approaches:a case study of eib longevity bond |
publishDate |
2014 |
url |
http://ndltd.ncl.edu.tw/handle/8s2g5z |
work_keys_str_mv |
AT changyachun comparelongevitybondvaluationapproachesacasestudyofeiblongevitybond AT zhāngyǎjūn comparelongevitybondvaluationapproachesacasestudyofeiblongevitybond AT changyachun zhǎngshòufēngxiǎnzhàiquànpíngjiàbǐjiàoyǐeiblongevitybondwèilì AT zhāngyǎjūn zhǎngshòufēngxiǎnzhàiquànpíngjiàbǐjiàoyǐeiblongevitybondwèilì |
_version_ |
1719111637289402368 |