Research

Securitization of Mortality Risks in Life Annuities

The purpose of this article is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance.

Publication Information
Article Title: Securitization of Mortality Risks in Life Annuities
Journal: Journal of Risk and Insurance (Jun, 2005)
Author(s): Lin, Yijia;  Cox, Samuel H.
Researcher Information
    
Lin, Yijia
Lin, Yijia
N. Z. Snell Life Insurance Professor
Finance
CoB 425 V
P.O. Box 880490
University of Nebraska-Lincoln
Lincoln, NE 68588-0490, USA
Phone: (402) 472-0093
Fax: (402) 472-5140
yijialin@unl.edu