Pricing standardized mortality securitizations : A two-population model with transitory jump effects

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      <subfield code="a">Zhou, Rui</subfield>
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      <subfield code="a">Pricing standardized mortality securitizations</subfield>
      <subfield code="b">: A two-population model with transitory jump effects</subfield>
      <subfield code="c">Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan</subfield>
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      <subfield code="a">Mortality dynamics are subject to jumps that are due to events such as wars and pandemics. Such jumps can have a significant impact on prices of securities that are designed for hedging catastrophic mortality risk, and therefore should be taken into account in modeling. Although several single-population mortality models with jump effects have been developed, they are not adequate for modeling trades in which the hedger's population is different from the population associated with the security being traded. In this article, we first develop a two-population mortality model with transitory jump effects, and then we use the proposed model and an economic-pricing framework to examine how mortality jumps may affect the supply and demand of mortality-linked securities.</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <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">02/09/2013 Volumen 80 Número 3 - septiembre 2013 </subfield>
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