Securitization of Mortality Risks in Life Annuities

Yijia Lin and Samuel H. Cox

Journal of Risk & Insurance, 2005, vol. 72, issue 2, 227-252

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.

Date: 2005
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https://doi.org/10.1111/j.1539-6975.2005.00122.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:72:y:2005:i:2:p:227-252

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