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dc.contributor.supervisor Zhou, Rui (Warren Centre for Actuarial Studies and Research) Pai, Jeffrey (Warren Centre for Actuarial Studies and Research) en_US
dc.contributor.author Ong, Li Kee
dc.date.accessioned 2016-09-14T13:07:47Z
dc.date.available 2016-09-14T13:07:47Z
dc.date.issued 2016
dc.identifier.uri http://hdl.handle.net/1993/31746
dc.description.abstract For an equity-linked insurance, the death benefit is linked to the performance of the company’s investment portfolio. Hence, both mortality risk and equity return shall be considered for pricing such insurance. Several studies have found some dependence between mortality improvement and economy growth. In this thesis, we showed that American mortality rate and Dow Jones Industrial Average (DJIA) index price are negatively dependent by using several copulas to define the joint distribution. Then, we used these copulas to forecast mortality rates and index prices, and calculated the payoffs of a 10-year term equity-linked insurance. We showed that the predicted insurance payoffs will be smaller if dependence between mortality and index price is taken into account. en_US
dc.subject Mortality en_US
dc.subject Time series models en_US
dc.subject Outlier models en_US
dc.subject Copulas en_US
dc.subject Equity-linked Securities en_US
dc.title Correlation between American mortality and DJIA index price en_US
dc.degree.discipline Management en_US
dc.contributor.examiningcommittee Shapiro, Arnold (Warren Centre for Actuarial Studies and ) Acar, Elif (Statistics) en_US
dc.degree.level Master of Science (M.Sc.) en_US
dc.description.note October 2016 en_US


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