Pricing Mortality Securities With Correlated Mortality Indexes

Pricing Mortality Securities with Correlated Mortality Indexes

This article proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian and multivariate jump-diffusion models and models with nonanalytic observation equations. In addition...

Living with Mortality: Longevity Bonds and Other Mortality-linked Securities

This paper addresses the problem of longevity risk ö the risk of uncertain aggregate mortality ö and discusses the ways in which life assurers, annuity providers and pension plans can manage their exposure to this risk. In particular, it focuses on how they can use mortalitylinked securities and over-the-counter contracts ö some existing and others still hypothetical ö to manage their longevity...

Mortality-Linked Securities and Derivatives

Factors Correlated with Patient Mortality

We have used two datasets from Data.gov, which report care metrics and patient outcomes for about 4000 hospitals across the US. The data includes state and county information for each hospital. Individual hospitals are identified by unique ids, which enabled us to conjoin the two datasets. The first dataset contains about 45 attributes describing patient mortality and readmission information fo...

Mortality Regimes and Pricing

Mortality dynamics are characterized by changes in mortality regimes. This paper describes a Markov regime switching model which incorporates mortality state switches into mortality dynamics. Using the 1901-2005 US population mortality data, we illustrate that regime switching models can perform better than well-known models in the literature. Furthermore, we extend the Lee-Carter (1992) model ...