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Incorporating Longevity Risk and Medical Information Into Life Settlement Pricing

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  • Patrick L. Brockett
  • Shuo-li Chuang
  • Yinglu Deng
  • Richard D. MacMinn

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Suggested Citation

  • Patrick L. Brockett & Shuo-li Chuang & Yinglu Deng & Richard D. MacMinn, 2013. "Incorporating Longevity Risk and Medical Information Into Life Settlement Pricing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 799-826, September.
    • Handle: RePEc:bla:jrinsu:v:80:y:2013:i:3:p:799-826
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    File URL: http://hdl.handle.net/10.1111/j.1539-6975.2013.01522.x
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    References listed on IDEAS

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    1. Alex Cowley & J. David Cummins, 2005. "Securitization of Life Insurance Assets and Liabilities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 193-226, June.
    2. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751, September.
    3. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    4. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
    5. 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.
    6. Lewis, Frank D, 1989. "Dependents and the Demand for Life Insurance," American Economic Review, American Economic Association, vol. 79(3), pages 452-467, June.
    7. Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
    8. 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.
    9. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Carmelo Giaccotto & Joseph Golec & Bryan P. Schmutz, 2017. "Measuring the Performance of the Secondary Market for Life Insurance Policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 127-151, March.
    5. Yong Liu & Alan P. Ker, 2021. "Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 231-257, March.

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