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Research on pricing longevity bonds with cohort mortality dependence. (Chinese. English summary) Zbl 1313.91173
Summary: This essay introduces cohort mortality dependence in Lee-Carter modeling to illustrate the dynamic changes of mortality. Using the longevity bond designation and on the basis of Chinese mortality experience, we analyze the pricing result of longevity bond in multivariate Wang risk measure.
MSC:
91G20 Derivative securities (option pricing, hedging, etc.)
91B30 Risk theory, insurance (MSC2010)
91D20 Mathematical geography and demography
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