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dc.contributor.supervisor Zhou, Rui (Warren Centre for Actuarial Studies and Research) en_US
dc.contributor.author Xing, Guangyu
dc.date.accessioned 2016-06-24T14:39:25Z
dc.date.available 2016-06-24T14:39:25Z
dc.date.issued 2016
dc.identifier.uri http://hdl.handle.net/1993/31508
dc.description.abstract 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. en_US
dc.subject Long-term equilibrium, Longevity bond, TVECM en_US
dc.title On the long-term equilibrium of mortality rates among multiple populations en_US
dc.degree.discipline Management en_US
dc.contributor.examiningcommittee Hao, Xuemiao (Warren Centre for Actuarial Studies and Research) Thavaneswaran, Aerambamoorthy (Statistics) en_US
dc.degree.level Master of Science (M.Sc.) en_US
dc.description.note October 2016 en_US


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