Uzun ömürlülük bonolarını fiyatlandırma: Uç değer kuramı ve kübik risk fiyatlandırma modeli
Bu çal mada teknik kazanc ölümlülük endeksine ba l olan bir uzun ömürlülük bonosu fiyatland r lm t r. Ölümlülük endeksinin geli imindeki küçük de i imler sabit terimli (driftli) rasgele yürüyü modeli ile, say ca az olan uzun ömürlülük durumlar ise uç de er teoremine göre modellenmi tir. Uzun ömürlülük bonosu, Lane ve Movchan (1999) taraf ndan geli tirilen kübik risk modeli ile fiyatland r lm t r
Anahtar Kelimeler:
Uzun ömürlülük bonosu, Lee-Carter modeli, Uç de er kuram , Ölüm oran , Fiyatland rma
Pricing longevity bonds: Extreme value theory and risk cubic pricing model
The bond which is written on longevity risk has been priced in this study. The payoff is given bydepending on a mortality index. While the small variations in the mortality index are modelled by usingrandom walk model with drift, rare longevity cases are modelled by extreme value theory. The mortalitymodelling is priced by using the risk cubic pricing method which is developed by Lane and Movchan(1999).
Keywords:
Longevity bonds, Lee-Carter model, Extreme value theory, Mortality rate, Pricing.,
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- ISSN: 1308-0539
- Yayın Aralığı: Yılda 2 Sayı
- Başlangıç: 2008
- Yayıncı: Aktüerya Derneği