演講公告

演講主題：Multi-Country Mortality Dependence and Longevity Securitization
主講人：王昭文教授 (國立高雄第一科技大學財務管理學系)
演講日期：2015年3月17日(星期二) 14:00 - 15:00
演講地點：(光復校區) 科學一館223室
茶會時間：當天下午1:30 (科學一館205室)
摘要內容：
This paper uses the time-varying copula models to capture the mortality dependence structure across countries. Both the symmetric and asymmetric dependence structures are examined. In addition, to capture the phenomenon of a heavy tail for the multi-country mortality index, we consider not only the setting of Gaussian innovations but also non-Gaussian innovations under the Lee Carter framework model. The goodness of fit of different dynamic copula models, the pattern of mortality dependence and the distribution of the innovations are assessed using empirical mortality data for Finland, France, the Netherlands and Sweden. To understand the effect of mortality dependence on longevity derivatives, we also build a valuation framework for pricing a survivor index swap. The fair swap rates of a survivor swap are investigated numerically. We demonstrate that without using the dynamic copula mortality model and without non-Gaussian innovations, the swap rates and the loss reserves will be seriously underestimated.
相關檔案：Talk_1040317.doc

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