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A Contingent Claim Analysis of Suicide
https://doi.org/10.24545/00001116
https://doi.org/10.24545/000011160fbfed3a-ca80-4e6d-8244-0e94892dd5e9
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP13-05.pdf (613.2 kB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2013-05-28 | |||||||
| タイトル | ||||||||
| タイトル | A Contingent Claim Analysis of Suicide | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Suicide | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | American Put Option | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Human Capital | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Delayed Exercise Premium | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Immediate Exercise Boundary | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | technical report | |||||||
| ID登録 | ||||||||
| ID登録 (DOI) | 10.24545/00001116 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
IKEDA, Shin S.
× IKEDA, Shin S.
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| 著者別名 | ||||||||
| 識別子Scheme | WEKO | |||||||
| 識別子 | 6711 | |||||||
| 姓名 | 池田, 真介 | |||||||
| 言語 | ja | |||||||
| 著者所属 | ||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||
| 分野 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 経済学 / Economics | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | An option-theoretic model of suicide in the continuous time framework is proposed. Given completeness of the financial market and the associated contingent claim argument, the value of human capital consistent with the no-arbitrage principle is determined as the expected, discounted, present value of the future wage stream under the risk-neutral probability measure. The suicide option ? the right but not the obligation to commit suicide ? is modelled as an American put option with this human capital stock and a certain reference level of human capital as the underlier and strike price, respectively. The value of underlier falling short of the srtike price doet not induce the option holder's immediate suicide because of the option value to postpone such a fatal and irreversible decision. This value, the delayed exercise premium, is given in a near closed form up to a deterministic exercise boundary. The nearly closed-form nature of this boundry allows one to calibrate the model to the real suicide rates among Japanese male workers from 1998 to 2009. The calibrated value of the strike price roughly amounts to the perpetual annuity value of the 90 percentage of the initial wage earned as of the new entry into the labor market, with the coupon rate given by the spread in market prices of risk between financial and labor market. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | JEL Classification Codes: D91, G13, J24 | |||||||
| 発行年 | ||||||||
| 値 | 2013-05 | |||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP13-05, 発行日 2013-05-28 |
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| 出版者 | ||||||||
| 出版者 | GRIPS Policy Research Center | |||||||
| 言語 | en | |||||||
| 関連サイト | ||||||||
| 関連タイプ | isIdenticalTo | |||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/13-05.html | |||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/13-05.html | |||||||
| 著者情報 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/ikeda_shinsuke/ | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | AM | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||
