The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

DOI10.1016/J.INSMATHECO.2015.05.005zbMath1348.91171OpenAlexW245515487MaRDI QIDQ495460

Johnny Siu-Hang Li, Yanxin Liu

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.05.005

zbMATH Keywords

securitizationLee-Carter modelrisk-neutral valuationcatastrophic mortality bondsjump effects

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical geography and demography (91D20)

Related Items (7)

Stochastic Mortality Models and Pandemic Shocks ⋮ Pricing longevity derivatives via Fourier transforms ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Green nested simulation via likelihood ratio: applications to longevity risk management ⋮ Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach ⋮ Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns ⋮ Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
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• Securitization of catastrophe mortality risks
• Longevity hedge effectiveness: a decomposition
• Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
• Statistical Models
• The Lee-Carter Model for Forecasting Mortality, Revisited
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• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform
• On Information and Sufficiency
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• A new look at the statistical model identification

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