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“Pricing for Internet Distribution” by W. Howell Pugh, Product Matters! July 2003
* > " ) Mortality Catastrophe Bond (' * > MCB ) . Reinsurance News ( SOA *0 "/. ()/$-'- -*, $* * ( ) ) . ( '*** % ". Sawasdee Actuary 6 $ ( -(.(1 MCB ) ((*-&*
MCB (Mortality Catastrophe Bond) 7'*** %/0( 6 *-&* .* * securitization ( ) ( mortality .* *1*("/'% (*-&* ./7'** ' 1 *8 securitization ( /*
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*('*** % MCB 7 &2 $+'* * ## 3-5 = #'** *'.* " /* coupon ' * # '. ( *)(-')* 8/ ## 0" - /'1/'% /* # - # MCB *(-' )' 8 '# - /'% 0".* / ( #'** (-' ) # ('*
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Features 8):('** MCB ' )
1. Underlying mortality index 40( .7B'**2 * ) (/'% 6 E&F ) * .'* *2 ) *2, * *2,(*-&* MCB '6 ) 7 *-( 8 ( (1 . * (" 0(- .'**2 (* * (population mortality) 7' (-( 2. Trigger Point 7 1 * ( ' 1 /'% 40(#'**2 (' 8/ . 1) - 0" *-(
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3. !" (Return) 8/ 6 (-( '* " * 6 ( LIBOR 7') spread 40( spread ' " ( 7-( (. ./ (1 6 *) (/'% $-'- 6 # MCB 8/ trigger point ' 2 '8 ( ( #'** 6 ( *(-')* 8 () 8/ spread ( .( # trigger point -(( spread (' -('8( MCB
./'** MCB * * " ( tranches ) (#'** *' $./ (1 * ) (' '( (1 tranche A trigger point 120% tranche B trigger point 150% *2 "'( tranche B '8 ( tranche A (( ) ( : (-'(#'**. tranche B '8 ) (...... )
(Mortality Catastrophe Bond - )
#$" ! %# & '(! !) MCB * !%#+
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(/'% * % -/ /* ' % (*-&* -'$-(*- * MCB = 2003 6 *-&* ) Swiss Re SPV Vita Capital Ltd. 6 MCB ( Swiss Re * =)*0( (-('* *2 * *(* 3/*B*- /*2 * 9*(3 -4*, , -' # ("8/ ( &2 * * +1* - *-(( Swiss Re ) ./'' LIBOR+135 basis points 6 trigger point (-' *- (
120% MCB 150% ('**2 $"B (-'( ( /3 , * ('**2 $"B
“Mortality Catastrophe Bonds As a Risk Mitigation Tool” by Ronald L. Klein, Reinsurance News May 2006
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PLeAse sOLve ThiS sECreT
“Ahn Tae Song”
('8* '- '# 8 ('* )( $ )'('- .* 3 . “Ahn Tae Song” ' (. $ '- ' ('(>$'* /*/' * 8* 0(* ) / ** Actuary :*(' * 3$/ . *# *-3*/C ( "
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