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Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects

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  • Rui Zhou
  • Johnny Siu-Hang Li
  • Ken Seng Tan

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  • Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2013. "Pricing Standardized Mortality Securitizations: A Two-Population Model With Transitory Jump Effects," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 733-774, September.
    • Handle: RePEc:bla:jrinsu:v:80:y:2013:i:3:p:733-774
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    5. Coughlan, Guy & Khalaf-Allah, Marwa & Ye, Yijing & Kumar, Sumit & Cairns, Andrew & Blake, David & Dowd, Kevin, 2011. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness," MPRA Paper 35743, University Library of Munich, Germany.
    6. Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah, 2011. "A Gravity Model of Mortality Rates for Two Related Populations," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 334-356.
    7. Rui Zhou & Johnny Siu-Hang Li & Ken Seng Tan, 2011. "Economic Pricing of Mortality-linked Securities in the Presence of Population Basis Risk," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 544-566, October.
    8. Ronald Lee & Timothy Miller, 2001. "Evaluating the performance of the lee-carter method for forecasting mortality," Demography, Springer;Population Association of America (PAA), vol. 38(4), pages 537-549, November.
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    11. Li, Johnny Siu-Hang & Hardy, Mary R. & Tan, Ken Seng, 2009. "Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 137-164, May.
    12. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
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    15. Andreas Milidonis & Yijia Lin & Samuel Cox, 2011. "Mortality Regimes and Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 266-289.
    16. Yinglu Deng & Patrick L. Brockett & Richard D. MacMinn, 2012. "Longevity/Mortality Risk Modeling and Securities Pricing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(3), pages 697-721, September.
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    19. Samuel H. Cox & Yijia Lin & Shaun Wang, 2006. "Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 719-736, December.
    20. Blake, D. & Cairns, A. J. G. & Dowd, K., 2006. "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities," British Actuarial Journal, Cambridge University Press, vol. 12(1), pages 153-197, March.
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    Cited by:

    1. Simon Schnürch & Torsten Kleinow & Ralf Korn, 2021. "Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model," Risks, MDPI, vol. 9(3), pages 1-32, March.
    2. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
    5. Selin Ozen & c{S}ule c{S}ahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Papers 2101.06690, arXiv.org.
    6. FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
    7. Li, Jackie & Haberman, Steven, 2015. "On the effectiveness of natural hedging for insurance companies and pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 286-297.
    8. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    9. Schinzinger, Edo & Denuit, Michel M. & Christiansen, Marcus C., 2016. "A multivariate evolutionary credibility model for mortality improvement rates," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 70-81.
    10. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    11. Liu, Yanxin & Li, Johnny Siu-Hang, 2016. "It’s all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 301-319.
    12. Selin Özen & Şule Şahin, 2021. "A Two-Population Mortality Model to Assess Longevity Basis Risk," Risks, MDPI, vol. 9(2), pages 1-19, February.
    13. Chen, Fen-Ying & Yang, Sharon S. & Huang, Hong-Chih, 2022. "Modeling pandemic mortality risk and its application to mortality-linked security pricing," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 341-363.
    14. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
    15. Wang, Zihe & Li, Johnny Siu-Hang, 2016. "A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds," Finance Research Letters, Elsevier, vol. 16(C), pages 103-111.
    16. Arık, Ayşe & Uğur, Ömür & Kleinow, Torsten, 2023. "The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices," ASTIN Bulletin, Cambridge University Press, vol. 53(2), pages 392-417, May.
    17. de Jong, Piet & Tickle, Leonie & Xu, Jianhui, 2016. "Coherent modeling of male and female mortality using Lee–Carter in a complex number framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 130-137.
    18. Liu, Yanxin & Li, Johnny Siu-Hang, 2015. "The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 135-150.
    19. Flici, Farrid, 2016. "Projection des taux de mortalité par âges pour la population algérienne [Forecasting The Age Specific Mortality Rates For The Algerian Population]," MPRA Paper 98784, University Library of Munich, Germany, revised Dec 2016.
    20. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.
    21. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.
    22. Tickle Leonie & Booth Heather, 2014. "The Longevity Prospects of Australian Seniors: An Evaluation of Forecast Method and Outcome," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 8(2), pages 259-292, July.
    23. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
    24. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
    25. Li, Johnny Siu-Hang & Zhou, Rui & Hardy, Mary, 2015. "A step-by-step guide to building two-population stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 121-134.

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