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Article

Valuations of Mortality-Linked Structured Products

Meng-Lan Yueh, Hsin-Yu Chiu and Shou-Hsun Tsai
The Journal of Derivatives Winter 2016, 24 (2) 66-87; DOI: https://doi.org/10.3905/jod.2016.24.2.066
Meng-Lan Yueh
is an associate professor in the Department of Finance at National Chengchi University in Taipei, Taiwan.
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  • For correspondence: mlyueh@nccu.edu.tw
Hsin-Yu Chiu
is a research fellow in the Department of Money and Banking at National Chengchi University in Taipei, Taiwan.
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  • For correspondence: chadchiu@mail2.nccu.tw
Shou-Hsun Tsai
is a relationship manager at Mega International Commercial Bank in Taipei, Taiwan.
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  • For correspondence: soshing@gmail.com
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Abstract

Medical advances have extended the average lifespan and seem poised to eliminate, or at least substantially moderate, death rates from major diseases like AIDS and cancer. But at the same time they have introduced major “longevity risk” for life insurers and issuers of annuity products. One way this exposure can be managed is by issuing structured debt securities in which the investor bears some of the risk. In this article, Yueh, Chiu, and Tsai review several basic structures in which either the coupon or the principal repayment depends on the realized value of a mortality index. They develop valuation models for mortality calls and puts, and explore the sensitivity to changes in parameter values.

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The Journal of Derivatives: 24 (2)
The Journal of Derivatives
Vol. 24, Issue 2
Winter 2016
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Valuations of Mortality-Linked Structured Products
Meng-Lan Yueh, Hsin-Yu Chiu, Shou-Hsun Tsai
The Journal of Derivatives Nov 2016, 24 (2) 66-87; DOI: 10.3905/jod.2016.24.2.066

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Valuations of Mortality-Linked Structured Products
Meng-Lan Yueh, Hsin-Yu Chiu, Shou-Hsun Tsai
The Journal of Derivatives Nov 2016, 24 (2) 66-87; DOI: 10.3905/jod.2016.24.2.066
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  • Article
    • Abstract
    • THE MORTALITY MODEL
    • VALUATIONS OF MORTALITY OPTIONS
    • MORTALITY-LINKED STRUCTURED PRODUCTS
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • APPENDIX C
    • APPENDIX D
    • APPENDIX E
    • ENDNOTES
    • REFERENCES
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