Securitization of Mortality Risks in Life Annuities

Posted: 7 May 2007

See all articles by Yijia Lin

Yijia Lin

University of Nebraska at Lincoln - Department of Finance

Samuel H. Cox

University of Manitoba - Asper School of Business

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.

Keywords: Securitization, Mortality, Annuities

JEL Classification: G22, I12

Suggested Citation

Lin, Yijia and Cox, Samuel H., Securitization of Mortality Risks in Life Annuities. Journal of Risk & Insurance, Vol. 72, No. 2, pp. 227-252, June 2005. Available at SSRN: https://ssrn.com/abstract=984631

Yijia Lin (Contact Author)

University of Nebraska at Lincoln - Department of Finance ( email )

Lincoln, NE 68588-0490
United States

Samuel H. Cox

University of Manitoba - Asper School of Business ( email )

181 Freedman Crescent
Winnipeg, Manitoba R3T 5V4
Canada

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