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- W2087680500 abstract "This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain–loss ratio of excess payoff of the mortality-linked securities. In contrast to the previous studies, the assumptions of no-arbitrage pricing and utility-based pricing are not fully employed in this study because of the incompleteness of the insurance securitization market. Instead, a framework including three insurance basis assets is constructed to search for the price bounds of mortality-linked securities and use the Swiss Re mortality catastrophe bond, issued in 2003, as a numerical example. The proposed price bounds are valuable for setting bid–asked spreads and coupon premiums, and establishing trading strategies in the raising mortality securitization markets." @default.
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- W2087680500 date "2014-03-01" @default.
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- W2087680500 title "Price bounds of mortality-linked security in incomplete insurance market" @default.
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- W2087680500 doi "https://doi.org/10.1016/j.insmatheco.2013.11.008" @default.
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