Longevity-mortality risk modeling and securities pricing

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      <subfield code="a">Deng, Yinglu</subfield>
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      <subfield code="c">Yinglu Deng, Patrick L. Brockett, Richard D. MacMinn</subfield>
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      <subfield code="a">Securitizing longevity/mortality risk can transfer longevity/mortality risk to capital markets. Modeling and forecasting mortality rate is key to pricing mortality-linked securities. Catastrophic mortality and longevity jumps occur in historical data and have an important impact on security pricing. This article introduces a stochastic diffusion model with a double-exponential jump diffusion process that captures both asymmetric rate jumps up and down and also cohort effect in mortality trends. The model exhibits calibration advantages and mathematical tractability while better fitting the data. The model provides a closed-form pricing solution for J.P. Morgans q-forward contract usable as a building block for hedging.</subfield>
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      <subfield code="0">MAPA20080555306</subfield>
      <subfield code="a">Mortalidad</subfield>
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      <subfield code="a">Longevidad</subfield>
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      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="a">Brockett, Patrick L.</subfield>
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      <subfield code="a">MacMinn, Richard D.</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">03/09/2012 Volumen 79 Número 3  - septiembre 2012 , p. 697-721</subfield>
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