Dr. Yijia Lin, UNL Assistant Professor of Finance, recently received a grant from the UNL Research Council Grants-In-Aid Award to assist in modeling mortality risks and pricing mortality securities/claims. Lin’s research project titled "Pricing Mortality Securities with Correlated Mortality Indices" proposes a stochastic model that will capture mortality correlations across countries to better analyze mortality dependent claims.
“This project attempts to improve mortality forecasts by capturing mortality jumps and mortality correlations across countries. A good mortality forecast is crucial for mortality security pricing” said Lin. “A mortality security's payoffs are related to mortality events. If there is a catastrophe that kills a lot of people, the principle or the coupons of the mortality security will be reduced.”
To help better price mortality securities Lin hopes to provide better mortality projections.
“This research will be helpful for mortality security issuers such as reinsurance companies when they are pricing those securities.”
The grant itself will allow Lin to hire a research assistant. It will also give Lin the funds to purchase software necessary to estimate the model. Lin hopes to use any remaining grant funds for travel costs to present her findings at a conference.
Lin joined the UNL College of Business Administration in 2007 and has primary research interests in risk management and insurance/catastrophe securitization.