System and Method for LongevityMortality Derivati

专利名称：System and Method for Longevity/Mortality

Derivatives Pricing and Risk Management

发明人：Yinglu Deng申请号：US12766360申请日：20100423

公开号：US201102601A1公开日：20111027

专利附图：

摘要：A computer-implemented method and system which can be used for assessingand quantifying the longevity (mortality) risk and pricing the longevity (mortality)derivatives by using Asymmetric Jump Diffusion (AJD) Model is disclosed. Longevity risk

(Mortality risk), which is defined as the uncertainty associated with the overestimation(underestimation) of the mortality rate, is faced by annuity providers, pension funds andlife insurers. The AJD method and system, composed of means, introduce an appropriateprobability density function at higher accuracy to capturing the leptokurtosis feature andthe asymmetric jump feature of the mortality rate risk. The method and system includemeans for decomposing the mortality rate, means for capturing the time-specificindicator trend feature; means for calibrating the AJD model by Maximum LikelihoodEstimation (MLE) procedure, means for projecting future mortality rate by Monte-Carlosimulation and means for pricing the derivatives with implied market price of risk.

申请人：Yinglu Deng

地址：Austin TX US

国籍：US

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