Securitization of Catastrophe Mortality Risks

By Yijia Lin, Samuel H. Cox. 2008

115 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, General Health Professions

View Paper: https://www.semanticscholar.org/paper/d733789fd13052c23037dc935e26ff280573b069

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Daniel Bauer
2. Jochen Russ
3. M. Börger
4. Peter A. Forsyth
5. X. Lin
6. Guojun Gan
7. Kenneth R. Vetzal

In Economics and Econometrics

1. Daniel Bauer
2. Jochen Russ
3. M. Börger
4. Peter A. Forsyth
5. X. Lin
6. Kenneth R. Vetzal
7. Guojun Gan

In General Health Professions

1. Jochen Russ
2. Daniel Bauer
3. M. Börger
4. Peter A. Forsyth
5. Kenneth R. Vetzal

Citations in the corpus

• Mortality Regimes and Pricing (2011, unknown): “It means the mortality curve after the jump will go back to the original level and ‘‘is independent of that [mortality rate] during the shock’’ (Lin and Cox 2008, p. 632).”
• On the pricing of longevity-linked securities (2010, methodology): “A similar equation can be found for the 2-factor Wang transform applied in Lin and Cox (2006). As pointed out in Section 2, pricing (T, x0)-Longevity Bonds using a “pre-specified instantaneous Sharpe ratio” λ̄ in the 1-factor model from Milevsky et al. (2005) corresponds to a constant market price o”
• Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “High-risk premia at least partially explain the failure of some insurance-linked securities, such as the EIB longevity bond issued in 2004 (Lin and Cox, 2008).”
• Mortality Risk Modeling: Applications to Insurance Securitization (2010, unknown): “Several recent articles focus on management such mortality risks, including Hardy (2005), Rogers (2002), Goss et al. (1998), Cox et al. (2006), Cox and Lin (2007) and Lin and Cox (2008).”
• Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Other studies onmortality jumpmodels include Bauer and Kramer (2007); Hainaut andDevolder (2007); Cox et al. (2008); Lin and Cox (2008); Chen et al. (2009).”
• Multi-population mortality models: A factor copula approach (2015, unknown): “Wang transform (Dowd et al. 2006, Denuit et al. 2007, Lin and Cox 2008, Chen and Cox 2009) Esscher transform (Chen et al. 2010, Li et al. 2010).”