StochasticShockofMortality,LongevityBond,PoissonProcess, The Wangtransform,MonteCarloSimulation
This nalprojectproposeslongevitybondfairvaluepricing.Simulation approachforstochasticshockofmortalityisusedforthecalculationoflife insurance andpensionfundpremiumwhichrepresentthemarket.TheWang transform isappliedtogetrisk-adjustedmortalitydistribution.Valuationof longevitybondisconstructedunder...
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| Format: | Final Project |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/34035 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |