Mortality risk modeling: Applications to insurance securitization |
| |
Authors: | Samuel H. Cox Yijia Lin Hal Pedersen |
| |
Affiliation: | a University of Manitoba, Winnipeg, Manitoba, R3T 5V4, Canada b University of Nebraska, P.O. Box 880488, Lincoln, NE 68588, USA |
| |
Abstract: | This paper proposes a stochastic mortality model featuring both permanent longevity jump and temporary mortality jump processes. A trend reduction component describes unexpected mortality improvement over an extended period of time. The model also captures the uneven effect of mortality events on different ages and the correlations among them. The model will be useful in analyzing future mortality dependent cash flows of life insurance portfolios, annuity portfolios, and portfolios of mortality derivatives. We show how to apply the model to analyze and price a longevity security. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|