- 學位論文
死亡率債券評價-以Swiss Re mortality bond 為例
Mortality bond valuation：Using the Swiss Re mortality bond as an example
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摘要
近年來的金融商品創新之中，純粹連結死亡率風險的證券倍受矚目，不僅成為壽險業更有效率的風險管理工具，也提供投資大眾一個新的投資標的。2011年3月11日日本東北大地震也讓許多國家政府開始評估巨災死亡率債券發行的可能性。此時如何準確地捕捉及評價死亡率風險變成一個相當重要的課題。本研究將以2003年底Swiss Re mortality bond 為例探討死亡率模型化與死亡率債券的定價。利用不完全市場（Incomplete market）的定價方法-Wang transform，結合兩個考慮跳躍的死亡率預測模型，分別為2008 年Lin 和Cox 提出的兩狀態結構轉換對數常態模型（Two-state regime-switching lognormal model）及2009 年Chen和Cox 的模型，估算2003年底發行的三年期Swiss Re mortality bond 隱含的風險市場價格。最後在以Swiss Re 於2005年4月發行的債券為例說明如何將估算的風險市場價格應用到不同契約條件的風險溢酬計算。
並列摘要
Recently, securitization of mortality risk or longevity risk draws a plenty of attention in the financial market. Pure mortality or longevity securities not only provide an alternative risk management method for life insurers, but also offer a novel investment opportunity for investors. The Japan Tohoku earthquake of 11th March, 2011, has caused some countries to consider and evaluate the possibility of issuance of catastrophic mortality bonds. Thus, how to precisely capture and price mortality risks becomes a very important issue. Our study will take the Swiss Re mortality bond of 2003 as an example to discuss mortality rates modeling and mortality bond price. We adopt two mortality stochastic models that takes into account a jump process together with the incomplete market pricing theory-Wang transform to calculate the implied market price of risk. The last, we show how to apply the estimated market price of risk to calculate the par spread of Swiss Re mortality bond of 2005.
參考文獻
1. Cowley, A., and Cummins, J. D. (2005). Securitization of Life Insurance Assets And Liabilities. Journal of Risk and Insurance, 72(2). 193-226.
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5. Chen, H., and Cox, S. H. (2009). Modeling Mortality With Jumps: Applications to Mortality Securitization. Journal of Risk and Insurance, 76(3), 727-751.