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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/45688


    Title: Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities
    Authors: Hwang,Ya-wen;Huang,Hong-Chih
    黃雅文;黃泓智
    Contributors: 風管系
    Keywords: mortality model;logistic model;longevity bond;collateral debt obligation
    Date: 2009-09
    Issue Date: 2010-10-06 10:39:08 (UTC+8)
    Abstract: This article proposes the modified logistic mortality model as a potential moderation of current models. The fitting and forecasting effects of the proposed modified logistic mortality model are efficient for the mortality data of the United States, Japan, England and Wales, and the modified logistic model provides the best forecasting for persons older than age 30 years under MAPE criterion. In addition, this study considers how to use longevity bonds to manage longevity risk. We apply the proposed modified logistic mortality model to price the bond, and to improve the attractiveness of that bond, we design it to encompass more than one tranche, according to the concept of collateral debt obligation. This design offers investors more choices pertaining to their different risk preferences.
    Relation: Asia Pacific Journal of Risk and Insurance, 6(1), Article 4
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1515/2153-3792.1134
    DOI: 10.1515/2153-3792.1134
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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