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Securitization of disability risk via bonds and swaps

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  • Alexander Hendrik Maegebier

Abstract

Purpose - – Two strands of the literature are combined, namely the modeling of disability insurance and the design, valuation and discussion of insurance-linked securities. Design/methodology/approach - – This paper provides a discussion regarding the advantages and detriments of disability-linked securities in comparison with mortality-linked bonds and swaps as well as regarding potential disability-linked indices and the potential use. The discussion is followed by an introduction of a potential design and a corresponding valuation of disability bonds and swaps. Findings - – This securitization will provide useful tools for the risk management of disability risk in a risk-based regulatory framework. Originality/value - – No disability-linked securities have been defined and discussed so far.

Suggested Citation

  • Alexander Hendrik Maegebier, 2015. "Securitization of disability risk via bonds and swaps," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(4), pages 407-424, August.
    • Handle: RePEc:eme:jrfpps:jrf-11-2014-0166
    DOI: 10.1108/JRF-11-2014-0166
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