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題名:Pricing Survivor Swaps with Mortality Jumps and Default Risk
書刊名:經濟論文
作者:張傳章 引用關係陳志展蔡明宏 引用關係
作者(外文):Chang, Chuang-changChen, Chih-chanTsay, Min-hung
出版日期:2010
卷期:38:2
頁次:頁119-156
主題關鍵詞:存活交換合約死亡率相依衍生性商品信用風險王氏轉換死亡率跳躍Survivor swapsMortality derivativesDefault riskWang transformMortality jumps
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:19
期刊論文
1.Wang, S. S.(1996)。Premium calculation by transforming the layer premium density。ASTIN Bulletin,26(1),71-92。  new window
2.Wang, S. S.(2000)。A Class of Distortion Operations for Pricing Financial and Insurance Risks。Journal of Risk and Insurance,67,15-36。  new window
3.Lin, Yijia、Cox, Samuel H.(2005)。Securitization of Mortality Risks in Life Annuities。Journal of Risk and Insurance,72(2),227-252。  new window
4.Wang, S. S.(2002)。A Universal Framework for Pricing Financial and Insurance Risks。ASTIN Bulletin,32(2),213-234。  new window
5.Jarrow, Robert A.、Yu, Fan(2001)。Counterparty risk and the pricing of defaultable securities。The Journal of Finance,56(5),1765-1799。  new window
6.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
7.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。  new window
8.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
9.Cox, Samuel H.、Lin, Yijia、Wang, Shaun S.(2006)。Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization。Journal of Risk and Insurance,73(4),719-736。  new window
10.Mitchell, O. S.、Poterba, J. M.、Warshawsky, M. J.、Brown, J. R.(1999)。New evidence on the money's worth of individual annuities。American Economic Review,89(5),1299-1318。  new window
11.Blake, D. and W. Burrows(2001)。“Survivor Bonds: Helping to Hedge Mortality Risk,”。Journal of Risk and Insurance,68,339–348。  new window
12.Blake, D., A. J. G. Cairns, and K. Dowd(2006)。“Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities,”。British Actuarial Journal,12,153–197。  new window
13.Dowd, Kevin(2003)。Survivor Bonds: A Comment on Blake and Burrows。Journal of Risk and Insurance,70(2),339-348。  new window
14.Dowd, K., D.、Blake, A. J.、Cairns, G.、Dawson, P.(2006)。Survivor Swaps。Journal of Risk and Insurance,73,1-17。  new window
15.Lin, Y.、Cox, S. H.(2008)。Securitization of Catastrophe Mortality Risks。Insurance:Mathematics and Economics,42,628–637。  new window
會議論文
1.Madan, D. and H. Unal(2004)。“Risk-Neutralizing Statistical Distributions: With an Application to Pricing Reinsurance Contracts on FDIC Losses,”no. 2004–01。  new window
研究報告
1.Wang, S.-S.(2006)。Normalized Exponential Tilting: Pricing and Measuring Multivariate Risks。Georgia State University。  new window
 
 
 
 
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