证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2015年
2期
42~47
,共null页
长寿风险 长寿互换 长寿债券 互换衍生品
長壽風險 長壽互換 長壽債券 互換衍生品
장수풍험 장수호환 장수채권 호환연생품
longevity risks, longevity swap, longevity bond, longevity derivative
长寿互换是一种交易双方基于目标人群未来实际生存率和预期生存率之间的差异定期交换现金流的合约。与长寿债券相比,长寿互换具有交易成本低、操作简捷和灵活性高等优势。本文首先阐述了长寿互换的市场发展;其次分析了长寿互换的运行机制;最后推导了基于Wang转换的带触发机制的长寿互换的具体定价解析式。
長壽互換是一種交易雙方基于目標人群未來實際生存率和預期生存率之間的差異定期交換現金流的閤約。與長壽債券相比,長壽互換具有交易成本低、操作簡捷和靈活性高等優勢。本文首先闡述瞭長壽互換的市場髮展;其次分析瞭長壽互換的運行機製;最後推導瞭基于Wang轉換的帶觸髮機製的長壽互換的具體定價解析式。
장수호환시일충교역쌍방기우목표인군미래실제생존솔화예기생존솔지간적차이정기교환현금류적합약。여장수채권상비,장수호환구유교역성본저、조작간첩화령활성고등우세。본문수선천술료장수호환적시장발전;기차분석료장수호환적운행궤제;최후추도료기우Wang전환적대촉발궤제적장수호환적구체정개해석식。
Longevity swaps refer to contracts in which both parties regularly exchange cash flows based on the difference between the actual and expected survival rates of the target population. Compared with longevity bonds, longevity swaps have several advantages such as low transaction costs, simple operation, and high flexibility. This paper first presents the market development of longevity swaps; then analyzes the operating mechanism of longevity swaps; finally derives an analytical pricing formula of longevity swaps with trigger mechanism based on Wang transform model.
