论文标题
定价时间的特定现金流量：一种离散的生存分析方法
Pricing Time-to-Event Contingent Cash Flows: A Discrete-Time Survival Analysis Approach
论文作者
论文摘要
保险投资投资组合的审慎管理要求具有固定收益资产的合格资产定价，并具有赛车时间或有可能的现金流量，例如消费者资产支持的证券（ABS）。这些资产的当前市场定价技术要么依赖于非随机时间模型，要么可能不利用大多数公共交易可用的详细资产级数据。我们首先建立一个框架，能够从证券化数据中得出事件时间随机变量的估算，该变量是离散的，通常会受到左截断和右审查的约束。然后，我们表明，离散时间危害率估计器的向量是渐近的多变量正常，具有独立的组件，在左右和右审查的情况下，在统计文献中尚未完成。然后将事件分配估计值馈送到我们的现金流模型中，该模型能够计算出事实上的应有现金流量的公式化价格，以计算相对于估计的事件分布的预期当前价值。在梅赛德斯 - 奔驰汽车租赁信托2017-A（MBALT 2017-A）债券中的29,845个36个月租约的申请中，我们的定价模型的估计比非随机时间到现金的实际现金流更接近，尤其是随着拟合拟合窗口的增加而更接近实际实现的未来现金流。最后，在某些情况下，危险率估计器的渐近性能使投资者能够评估价格估计值的潜在不确定性，我们说明了MBALT 2017-A的493个24个月租赁的子集。
Prudent management of insurance investment portfolios requires competent asset pricing of fixed-income assets with time-to-event contingent cash flows, such as consumer asset-backed securities (ABS). Current market pricing techniques for these assets either rely on a non-random time-to-event model or may not utilize detailed asset-level data that is now available with most public transactions. We first establish a framework capable of yielding estimates of the time-to-event random variable from securitization data, which is discrete and often subject to left-truncation and right-censoring. We then show that the vector of discrete-time hazard rate estimators is asymptotically multivariate normal with independent components, which has not yet been done in the statistical literature in the case of both left-truncation and right-censoring. The time-to-event distribution estimates are then fed into our cash flow model, which is capable of calculating a formulaic price of a pool of time-to-event contingent cash flows vis-á-vis calculating an expected present value with respect to the estimated time-to-event distribution. In an application to a subset of 29,845 36-month leases from the Mercedes-Benz Auto Lease Trust 2017-A (MBALT 2017-A) bond, our pricing model yields estimates closer to the actual realized future cash flows than the non-random time-to-event model, especially as the fitting window increases. Finally, in certain settings, the asymptotic properties of the hazard rate estimators allow investors to assess the potential uncertainty of the price point estimates, which we illustrate for a subset of 493 24-month leases from MBALT 2017-A.
