Securitization of mortality risks in life annuities.

From: Journal of Risk and Insurance | Date: June 1, 2005| Author: | Copyright information

ABSTRACT

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.

INTRODUCTION

The purpose of this article is to study the securitization of mortality risks, especially the longevity risk inherent in a portfolio of annuities or in a pension plan. Life insurance and annuity securitization are now well established. Cummins (2004) has ...

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