英文标题：
《Model-Independent Price Bounds for Catastrophic Mortality Bonds》
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作者：
Raj Kumari Bahl and Sotirios Sabanis
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最新提交年份：
2020
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英文摘要：
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of a well-defined mortality index to generate payoffs for bondholders. Pricing these type of bonds is a challenging task and no closed form solution exists in the literature. In our approach, we express the payoff of such a bond in terms of the payoff of an Asian put option and present a new approach to derive model-independent bounds exploiting comonotonic theory as illustrated in \\cite{prime1}, \\cite{2} and \\cite{Simon} for the pricing of Asian options. We carry out Monte Carlo simulations to estimate the bond price and illustrate the quality of the bounds.
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中文摘要：
在本文中，我们关注灾难性死亡债券的估值，特别是我们考察了2003年瑞士再保险死亡债券的案例，作为这类资产的一个主要例子。该债券是市场上推出的第一个灾难性死亡率债券，包含了定义明确的死亡率指数的行为，以为债券持有人产生回报。为这些类型的债券定价是一项具有挑战性的任务，文献中不存在封闭形式的解决方案。在我们的方法中，我们将这种债券的收益表示为亚式看跌期权的收益，并提出了一种新的方法，利用协单调理论推导模型独立边界，如亚式期权定价的{prime1}、{2}和{Simon}所示。我们进行蒙特卡罗模拟来估计债券价格，并说明边界的质量。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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