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Pricing mortality securities with correlated mortality indexes

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<title>Pricing mortality securities with correlated mortality indexes</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080014094">
<namePart>Lin, Yijia</namePart>
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<namePart>Liu, Sheen</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120016477">
<namePart>Yu, Jifeng</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Yijia Lin, Sheen Liu, Jifeng Yu</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
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<topic>Tasa del riesgo</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
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<topic>Tarificación</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>02/12/2013 Volumen 80 Número 4 - diciembre 2013 , p. 921-948</text>
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