英文标题：
《Statistical Emulators for Pricing and Hedging Longevity Risk Products》
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作者：
James Risk and Michael Ludkovski
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最新提交年份：
2015
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英文摘要：
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of multi-dimensional stochastic processes. Except in the simplest cases, no closed-form expressions are available, necessitating numerical approximation. Rather than building ad hoc analytic approximations, we advocate the use of modern statistical tools from machine learning to generate a flexible, non-parametric surrogate for the true mappings. This method allows performance guarantees regarding approximation accuracy and removes the need for nested simulation. We illustrate our approach with case studies involving (i) a Lee-Carter model with mortality shocks, (ii) index-based static hedging with longevity basis risk; (iii) a Cairns-Blake-Dowd stochastic survival probability model.
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中文摘要：
我们建议使用统计模拟器来评估随机死亡率模型中与死亡率相关的契约。这种模型通常需要对多维随机过程的非线性泛函的期望值进行（嵌套）评估。除了最简单的情况外，没有封闭形式的表达式可用，因此需要数值近似。我们提倡使用机器学习中的现代统计工具，为真实映射生成灵活、非参数的替代项，而不是构建特别的分析近似。这种方法可以保证近似精度方面的性能，并且不需要嵌套模拟。我们用案例研究来说明我们的方法，包括（i）具有死亡率冲击的Lee-Carter模型，（ii）具有寿命基准风险的基于指数的静态对冲；（iii）凯恩斯-布莱克-多德随机生存概率模型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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