Han Li,Haibo Liu,Qihe Tang et al.
Han Li et al.
In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVID-19 pandemic calls this assumption into question. In this paper, we employ a bivariate affine jump-diffusion ...
Modeling pandemic mortality risk and its application to mortality-linked security pricing [0.03%]
大流行死亡率风险的模型及其在与死亡率挂钩的证券定价中的应用
Fen-Ying Chen,Sharon S Yang,Hong-Chih Huang
Fen-Ying Chen
To provide insights for how to deal with pandemic mortality risk, this article introduces a mortality model that depicts the relevant pandemic effects on pricing mortality-linked securities, using a threshold jump approach. That is, to capt...
Jie Yin,Bingyan Han,Hoi Ying Wong
Jie Yin
The COVID-19 pandemic shows significant impacts on credit risk, which is the key concern of corporate bond holders such as insurance companies. Credit risk, quantified by agency credit ratings and credit default swaps (CDS), usually exhibit...
Xiaowei Chen,Wing Fung Chong,Runhuan Feng et al.
Xiaowei Chen et al.
The repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been observed in many parts of the world. Some attributing facto...
Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age? [0.03%]
逆向校准Gompertz公式：您的长寿风险调整全球年龄是多少？
Moshe A Milevsky
Moshe A Milevsky
This paper develops a computational framework for inverting Gompertz-Makeham mortality hazard rates, consistent with compensation laws of mortality for heterogeneous populations, to define a longevity-risk-adjusted global (L-RaG) age. To il...
Contagion modeling between the financial and insurance markets with time changed processes [0.03%]
带时间变化过程的金融和保险市场间的传染模型研究
Donatien Hainaut
Donatien Hainaut
This study analyzes the impact of contagion between financial and non-life insurance markets on the asset-liability management policy of an insurance company. The indirect dependence between these markets is modeled by assuming that the ass...
Population waves and fertility fluctuations: social security implications [0.03%]
人口波动与生育率变动：对社会保障的涵义
P P Boyle,R Freedman
P P Boyle