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Securitization of catastrophe mortality risks

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  • Lin, Yijia
  • Cox, Samuel H.

Abstract

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 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.

Suggested Citation

  • Lin, Yijia & Cox, Samuel H., 2008. "Securitization of catastrophe mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 628-637, April.
  • Handle: RePEc:eee:insuma:v:42:y:2008:i:2:p:628-637
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    References listed on IDEAS

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