Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward un¬derstanding 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
In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality change...
In January 2004, the first securitization of senior life insurance policies was issued in the market...
This paper uses the example of catastrophe bonds to investigate how exposures to geophysical, biolog...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
This article proposes a stochastic model, which captures mortality correlations across countries and...
The insurance industry works on ‘The law of large numbers’ for calculating the premiums for each pol...
Schmeck MD, Schmidli H. Mortality Options: the Point of View of an Insurer. Center for Mathematical ...
This paper proposes a stochastic mortality model featuring both permanent longevity jump and tempora...
In the presented work we focus on securitization of two major technical risks in life insurance - lo...
A number of stochastic mortality models with transitory jump effects have been proposed for the secu...
This paper addresses the risk-minimization problem, with and without mortality securitization, a la ...
In this paper, we incorporate a jump-diffusion process into the original Lee-Carter model, and use i...
The trading of property catastrophe risk using standard financial instruments such as options and bo...
Insurance companies, employer pension plans, and the U.S. government all provide annuities and there...
In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality change...
In January 2004, the first securitization of senior life insurance policies was issued in the market...
This paper uses the example of catastrophe bonds to investigate how exposures to geophysical, biolog...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
Securitization with payments linked to explicit mortality events provides a new investment opportuni...
This article proposes a stochastic model, which captures mortality correlations across countries and...
The insurance industry works on ‘The law of large numbers’ for calculating the premiums for each pol...
Schmeck MD, Schmidli H. Mortality Options: the Point of View of an Insurer. Center for Mathematical ...
This paper proposes a stochastic mortality model featuring both permanent longevity jump and tempora...
In the presented work we focus on securitization of two major technical risks in life insurance - lo...
A number of stochastic mortality models with transitory jump effects have been proposed for the secu...
This paper addresses the risk-minimization problem, with and without mortality securitization, a la ...
In this paper, we incorporate a jump-diffusion process into the original Lee-Carter model, and use i...
The trading of property catastrophe risk using standard financial instruments such as options and bo...
Insurance companies, employer pension plans, and the U.S. government all provide annuities and there...
In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality change...
In January 2004, the first securitization of senior life insurance policies was issued in the market...
This paper uses the example of catastrophe bonds to investigate how exposures to geophysical, biolog...