Multivariate exponential tilting and pricing implications for mortality securitization

Journal of Risk and Insurance

Volumn 73, Issue 4, 2006, Pages 719-736

  Cox, Samuel H ^a   Lin, Yijia ^b   Wang, Shaun ^a  

^a GEORGIA STATE UNIVERSITY   (United States)

^b YOUNGSTOWN STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33845451590     PISSN: 00224367     EISSN: 15396975     Source Type: Journal    
DOI: 10.1111/j.1539-6975.2006.00196.x     Document Type: Article

References (31)

1. The Actuary, 2004, Swiss Re obtains $400 Million of Mortality Risk Coverage, January/February, p. 16.
2. Bantwal, V. J., and H. C. Kunreuther, 1999, A Cat Bond Premium Puzzle, Working paper, Financial Institutions Center of the Wharton School.
3. Blake, D., A. J. G. Cairns, and K. Dowd, 2006, Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities, Discussed at the Faculty of Actuaries on 16 January, 2006 and at the Institute of Actuaries on 27 February, 2006.
4. Buhlmann, H., 1980, An Economic Premium Principle, ASTIN Bulletin, 11(11): 52-60.
5. Cairns, A. J. G., D. Blake, and K. Dowd, 2006, Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk, ASTIN Bulletin, 36(1): 79-120.
6. Cowley, A., and J. D. Cummins, 2005, Securitization of Life Insurance Assets, Journal of Risk and Insurance, 72(2): 193-226.
7. Dahl, M. H., 2003, Stochastic Mortality in Life Insurance: Market Reserves and Mortality-Linked Insurance Contracts, Working paper, University of Copenhagen, Denmark.
8. Duffie, D., 1992, Dynamic Asset Pricing Theory (Princeton, New Jersey: Princeton University Press).
9. Gerber, H. U., and E. S. W. Shiu, 1996, Martingale Approach to Pricing Perpetual American Options on Two Stocks, Mathematical Finance, 6(3): 303-322.
10. Guy Carpenter, 2005, Tsunami: Indian Ocean Event and Investigation into Potential Global Risks. See the report released in March 2005.
11. Harrison, J. M., and D. M. Kreps, 1979, Martingales and Arbitrage in Multiperiod Security Markets, Journal of Economic Theory, 20(3): 381-408.
12. Heston, S. L., 1993, A Closed-Form Solution for Options with Stochastic Volatility With Applications to Bond and Currency Options, Review of Financial Studies, 6(2): 327-343.
13. Karatzas, I., and S. E. Shreve, 1992, Brownian Motion and Stochastic Calculus (2nd edition) (New York: Springer-Verlag).
14. Kijima, M., 2006, A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks, ASTIN Bulletin, 36(1): 269-284.
15. Lane, M. N., and R. G. Beckwith, 2005, The 2005 Review of the Insurance Securitization Market. Technical Report, Lane Financial LLC, Wilmette, IL.
16. Lee, R. D., 2000, The Lee-Carter Method of Forecasting Mortality, With Various Extensions and Applications, North American Actuarial Journal, 4(11): 80-93.
17. Lee, R. D., and L. Carter, 1992, Modelling and Forecasting the Time Series of US Mortality, Journal of the American Statistical Association, 87(419): 659-671.
18. Lin, Y., and S. H. Cox, 2005, Securitization of Mortality Risks in Life Annuities, Journal of Risk and Insurance, 72(2): 227-252.
19. Lin, Y., and S. H. Cox, 2006, Securitization of Catastrophe Mortality Risks, Working paper, Georgia State University.
20. Madan, D., and H. Unal, 2004, Risk-Neutralizing Statistical Distributions: With an Application to Pricing Reinsurance Contracts on FDIC Losses. FDIC Center for Financial Research, Working paper no. 2004-01.
21. Milevsky, M. A., and S. D. Promislow, 2001, Mortality Derivatives and the Option to Annuitize, Insurance: Mathematics and Economics, 29(3): 299-318.
22. Minton, B., A. B. Sanders, and P. E. Strahan, 2004, Securitization by Banks and Finance Companies: Efficient Financial Contracting or Regulatory Arbitrage?, Working paper no. 2004-25, The Ohio State University.
23. Moller, T., 2004, Stochastic Orders in Dynamic Reinsurance Markets, Finance and Stochastic, 8(4): 479-499.
24. MorganStanley, 2003, Swiss Re Innovative Mortality-Based Security. See the news release for December 8, 2003.
25. th International Congress of Actuaries.
26. Renshaw, A., S. Haberman, and P. Hatzoupoulos, 1996, The Modeling of Recent Mortality Trends in United Kingdom Male Assured Lives, British Actuarial Journal, 2(2): 449-477.
27. Sithole, T. Z., S. Haberman, and R. J. Verrall, 2000, An Investigation into Parametric Models for Mortality Projections, with Applications to Immediate Annuitants' and Life Office Pensioners' Data, Insurance: Mathematics and Economics, 27(3): 285-312.
28. Swiss Re, 2003, Swiss Re Obtains USD 400 Million of Extreme Mortality Risk Coverage - Its First Life Securitization. See the news release for December 2003.
29. Venter, G. G., J. Barnett, and M. Owen, 2004, Market Value of Risk Transfer: Catastrophe Reinsurance Case, International AFIR Colloguium, 〈http://afir2004.soa.org/afir-papers.html〉.
30. Wang, S. S., 2000, A Class of Distortion Operations for Pricing Financial and Insurance Risks, Journal of Risk and Insurance, 67(1): 15-36.
31. Wang, S. S., 2006, Normalized Exponential Tilting: Pricing and Measuring Multivariate Risks. Available at 〈http://www.ermii.org/Research/ Multivariate_Exponential_Titiling_01-08-2006.pdf〉.