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.
||Securitization of Catastrophe Mortality Risks
Insurance: Mathematics and Economics (Apr, 2008)
||Lin, Yijia; Cox, Samuel H.