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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
provided by the
Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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On the long-term equilibrium of mortality rates among multiple populationsXing, Guangyu 24 June 2016 (has links)
As human life expectancy continues to increase, longevity risk has become a major concern for pension plan sponsors and annuity providers. To hedge the risk, longevity-linked securities have been developed. Since these securities often have payoffs linked to mortality rates of multiple populations, it is important to investigate the relationship between them. In this thesis, we use England and Wales (EW) and Canadian mortality data for illustration. We consider the long-term equilibrium between the mortality indexes of the two populations through cointegration analysis. Our test shows that structural change occurred in the equilibrium. To capture changes in both equilibrium and autoregression structure, we adopt the Threshold Vector Error Correction Model (TVECM). We find that the TVECM model provides adequate fit to our data. This model is further applied to pricing an illustrative longevity bond. Our numerical results indicate that the changes in the long-term equilibrium have a significant impact on longevity bond prices. / October 2016
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Improved estimation in threshold regression with applications to price transmission modeling / Verbessertes Schätzen von Threshold Regressionsmodellen mit Anwendungen in der PreistransmissionsanalyseGreb, Friederike 30 January 2012 (has links)
No description available.
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