Securitization of Catastrophe Mortality Risks

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortalitylinked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes. Our model nicely explains opposite market outcomes of two existing pure mortality securities.

Publication Information
Article Title: Securitization of Catastrophe Mortality Risks
Journal: Insurance: Mathematics and Economics (Apr, 2008)
Author(s): Lin, Yijia;  Cox, Samuel H.
Researcher Information
Lin, Yijia
Lin, Yijia
N. Z. Snell Life Insurance Professor
HLH 425 V
P.O. Box 880490
University of Nebraska-Lincoln
Lincoln, NE 68588-0490, USA
Phone: (402) 472-0093
Fax: (402) 472-5140