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Securitization of Mortality Risks in Life Annuities
Author(s) -
Lin Yijia,
Cox Samuel H.
Publication year - 2005
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1111/j.1539-6975.2005.00122.x
Subject(s) - annuity , securitization , life annuity , life insurance , actuarial science , bond , business , longevity risk , economics , finance , pension
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.