In this article, we explore the use of multivariate Archimedean copulas in modelling the mortality dependence between different countries and pricing mortality bonds. We study the fitting performance of multi-dimensional, fully nested, and partially nested Archimedean copulas and test 11 types of generators and two skewed distributions. To evaluate their practical usefulness, we adopt the fitted models to compute the market prices for some typical mortality bond structures. The results show that the copula assumption has a significant impact on the calculation of the prices of mortality-linked securities and the management of extreme mortality risks.

中文翻译：

---

使用分层阿基米德 copula 建模死亡率依赖性和定价与死亡率相关的证券

在本文中，我们探讨了使用多元阿基米德 copula 来模拟不同国家之间的死亡率依赖关系和定价死亡率债券。我们研究了多维、完全嵌套和部分嵌套的 Archimedean copula 的拟合性能，并测试了 11 种生成器和两种偏态分布。为了评估它们的实际用途，我们采用拟合模型来计算一些典型的死亡债券结构的市场价格。结果表明，copula假设对死亡相关证券价格的计算和极端死亡风险的管理有显着影响。