Securitization of Catastrophe Mortality Risks

Submitted on 29th July 2015

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality linked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes. Our model nicely explains opposite market outcomes of two existing pure mortality securities.


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Youngstown / Georgia State Ujniversity
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Yijia Lin, Samuel H. Cox
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