Securitization of Catastrophe Mortality Risks

Lin, Yijia; Cox, Samuel H.

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Securitization of Catastrophe Mortality Risks

Insurance: Mathematics and Economics, Vol. 42, No. 2, pp. 628-637, 2008

28 Pages Posted: 22 Jun 2007 Last revised: 26 Aug 2011

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

Date Written: June 12, 2007

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.

Keywords: Securitization, Catastrophes, Mortality Risks

JEL Classification: G12, G22, G23

Suggested Citation: Suggested Citation

Lin, Yijia and Cox, Samuel H., Securitization of Catastrophe Mortality Risks (June 12, 2007). Insurance: Mathematics and Economics, Vol. 42, No. 2, pp. 628-637, 2008, Available at SSRN: https://ssrn.com/abstract=994575