Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Securitization of Senior Life Settlements

Managing Extension Risk

Charles A. Stone and Anne Zissu
The Journal of Derivatives Spring 2006, 13 (3) 66-72; DOI: https://doi.org/10.3905/jod.2006.616868
Charles A. Stone
The co-editor of and Associate Professor of Finance at Brooklyn College in NewYork, N.Y.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: zfinance@interserv.com
Anne Zissu
The co-editor of and Associate Professor of Finance at Temple University in Philadelphia, PA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: zissu@sprynet.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Securitization has been an extremely important technique for managing exposure to a variety of financial risks. It allows the undesired risk to be concentrated in a small proportion of the newly created securities while largely eliminating its impact for most investors. Securitization had its very successful debut with mortgages, as a way to tap into funding from the bond market with mortgage-backed securities that were largely insulated from the inherent exposure of the underlying mortgages to prepayment risk. Since then, it has been extended to a wide range of securities and categories of risk. In this issue's Innovations section, Stone and Zissu describe a new kind of securitization, in which the risk to be managed is the risk of death. Or the opposite, actually: It is “longevity risk,” the risk that an insured person will live too long, i.e., longer than their actuarial expected life span. A senior life settlement contract provides a way for a terminally ill, or very old, holder of a life insurance policy to liquidate it and obtain cash prior to death. The article describes how a portfolio of life settlement contracts may be securitized and tranched, and discusses pricing and risk management for the new securities.

TOPICS: Risk management, MBS and residential mortgage loans

  • © 2006 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives
Vol. 13, Issue 3
Spring 2006
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Securitization of Senior Life Settlements
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Securitization of Senior Life Settlements
Charles A. Stone, Anne Zissu
The Journal of Derivatives Feb 2006, 13 (3) 66-72; DOI: 10.3905/jod.2006.616868

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Securitization of Senior Life Settlements
Charles A. Stone, Anne Zissu
The Journal of Derivatives Feb 2006, 13 (3) 66-72; DOI: 10.3905/jod.2006.616868
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Fair Value Measurement in the Life Settlement Market
  • Analyzing the Different Modules of Longevity Risk in Death Bonds
  • Life Settlement Value Profiles across Different Death Rate Distributions
  • New Findings on Older Peoples Life Expectancies Confirm Gompertz Law: The Impact on the Value of Securitized Life Settlements
  • The Effect of Probabilistic and Stochastic Valuations * versus a Deterministic Valuation of Securitized Senior * Life Settlements on the Level of Liquidity Facility
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies