Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization
Normalized exponential tilting is an extension of classical theories, including the Capital Asset Pricing Model (CAPM) and the Black-Merton-Scholes model, to price risks with general-shaped distributions. The need for changing multivariate probability measures arises in pricing contingent claims on multiple underlying assets or liabilities. In this article, we apply it to valuation of mortality-based securities written on mortality indices of several countries. We show how to use multivariate exponential tilting to price the first pure mortality security, the Swiss Re bond. The same technique can be applied in other mortality securitization pricing. Copyright The Journal of Risk and Insurance, 2006.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 73 (2006)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.wiley.com/bw/journal.asp?ref=0022-4367&site=1|
More information through EDIRC
|Order Information:||Web: http://www.wiley.com/bw/subs.asp?ref=0022-4367|