Securitization of Mortality Risks in Life Annuities

By Yijia Lin, Samuel H. Cox. 2005

310 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/6d441fa73a5625d1122d4cda110dc4a29250744e

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Citations in the corpus

An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach (2009, unknown): “Blake and Burrows (2001) first proposed that issuing survivor bonds4 could help a pension fund insure against the longevity risk, and more recent studies also extend the issue of securitization of longevity risk (e.g., Dowd, 2003; Blake, Cairns, and Dowd, 2006; Blake, Cairns, Dowd, and MacMinn, 2006”
Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework (2007, unknown): “Lin and Cox (2005) successfully applied Wang transform to price mortality risk bonds.”
Mortality Regimes and Pricing (2011, unknown): “Compared with the reinsurance markets, the capital markets have a much bigger capacity to pay potential catastrophe losses (Lin and Cox 2005).”
Modeling Mortality With Jumps: Applications to Mortality Securitization (2009, unknown): “, Lin and Cox, 2008). We compare the model with permanent jump effects to the model with transitory jump effects, and discuss how to apply different models in different scenarios. Finally, we contribute to the existing literature by showing how to account for correlations of the mortality index over”
Mortality-dependent financial risk measures (2006, methodology): “…bonds (LBs).3 The first publicly offered mortality derivative – the Swiss Re LB – was then issued in December 2003,4 and this was followed by the European 2 These models include those of Milevsky and Promislow (2001), Yang (2001), Cairns et al. (2006a), Dahl (2004) and Lin and Cox (2005b).”
On the pricing of longevity-linked securities (2010, methodology): “Alternatively, we can calibrate the Sharpe ratio λ̄ to a suitable annuity quote, which would be in the spirit of Lin and Cox (2005).”
Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006, background): “…minimum and maximum payouts at each time to A and B ensure that the payments are always non-negative, and can be financed entirely from the proceeds of the fixed interest zero coupon bond holdings of the SPV. (The resulting (minor) optionality is reminiscent of the construction in Lin & Cox, 2005.”
Understanding, modelling and managing longevity risk: key issues and main challenges (2012, methodology): “This methodology can be compared to the Wang transform, which is a distortion of the historical probability (see the approach of Lin and Cox (2005)).”
On systematic mortality risk and risk-minimization with survivor swaps (2008, background): “Hedging with survivor swaps has also been considered by Lin and Cox (2005) .”
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011, background): “Lin and Cox (2005) [35] proposed a longevity bond with payments based on the insurer’s loss experience eliminating basis risk while Wills and Sherris (2010) [49] analysed tranching in a longevity bond structure showing how age dependence is a critical factor in the design and pricing of a securitiza”
Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006, unknown): “16 A LS is a swap involving an exchange of one or more payments over a set term, at least one leg of which is linked to the realized value of a survivor index (Cox and Lin, 2004; Lin and Cox, 2005; or Dowd et al., 2006b).”
Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “Lin and Cox (2005), Dowd et al. (2006), and Denuit, Devolder, and Goderniaux (2007) apply the Wang transform (Wang, 2000) to physical distributions in pricing distortion distributions.”