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Securitization of Mortality Risks in Life Annuities

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  • Yijia Lin
  • Samuel H. Cox

Abstract

The purpose of this article is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance. Copyright The Journal of Risk and Insurance.

Suggested Citation

  • Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252.
  • Handle: RePEc:bla:jrinsu:v:72:y:2005:i:2:p:227-252
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1539-6975.2005.00122.x
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    1. Brown, Jeffrey R. & Mitchell, Olivia S. & Poterba, James M. & Warshawsky, Mark J., 2001. "The Role of Annuity Markets in Financing Retirement," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262529130, January.
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