Click to login and read the full article.
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
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.
- © 2016 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