Pricing mortality securities with correlated mortality indexes

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Collection: Articles

Title: Pricing mortality securities with correlated mortality indexes / Yijia Lin, Sheen Liu, Jifeng Yu
Author: Lin, Yijia
Notes: Sumario: This article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian and multivariate jump-diffusion models and models with nonanalytic observation equations. In addition, we illustrate how to price mortality securities with normalized multivariate exponential titling based on the estimated mortality correlations and jump parameters. Our results show the significance of modeling mortality correlations and transient jumps in mortality security pricing.
Other authors: Liu, Sheen
Yu, Jifeng
Other categories: 6

Rights: In Copyright (InC):