Uzun ömürlülük bonolarını fiyatlandırma: Uç değer kuramı ve kübik risk fiyatlandırma modeli

Year 2011, Volume: 4 Issue: 2, 69 - 85, 01.06.2011

Ayşe Arık Meral Sucu

Abstract

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

Keywords

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

Abstract

The bond which is written on longevity risk has been priced in this study. The payoff is given by

depending on a mortality index. While the small variations in the mortality index are modelled by using

random walk model with drift, rare longevity cases are modelled by extreme value theory. The mortality

modelling 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.

References

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