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Securitization of mortality risks in life annuities

By Yijia Lin, Samuel and H. Cox

Abstract

ABSTRACT. The purpose of this paper is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance

Year: 2005
OAI identifier: oai:CiteSeerX.psu:10.1.1.195.5042
Provided by: CiteSeerX
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