基于二叉树结构的死亡风险债券的定价模型

死亡风险债券是寿险风险证券化的一种具体应用。针对寿险公司可能遭受的死亡率升高的危险，基于二叉树结构理论，建立了我国应用死亡风险债券的定价模型，其定价原则是债券价格等于预期未来现金流的现值。最后指出我国死亡风险债券的设计技术虽然成熟，但在实践中要注意死亡率指数的确立、法律完善和监管等问题。

Pricing model of mortality risk bond based on binomial tree configuration

Mortality risk bond is material application in securitization of life insurance.For risk of mortality which may rises in life insurance company,according to binomial tree theory,this paper establishes a pricing model of mortality risk bond applied in China,And pricing fundamental of mortality risk bond is that price of bond equals to present value of cash flow in future.At last it points out that although design technique of mortality risk bond in our country is mature,there are many problems in practice such as the establishment of mortality index,consummation in law and control.