Type of Document Dissertation Author Lin, Yijia URN etd-05082006-112908 Title Mortality Risk Management Degree Ph.D. Department Risk Management and Insurance Advisory Committee
Advisor Name Title Dr, Sam Cox Committee Chair Keywords
- mortality
- Securitization
Date of Defense 2006-04-20 Availability restricted Abstract ABSTRACT
MORTALITY RISK MANAGEMENT
BY
Yijia Lin
2006
Committee Chair: Samuel H. Cox
Major Academic Unit: Department of Risk Management and Insurance
This is a multi–essay dissertation in the area of mortality risk management. The first essay investigates natural hedging between life insurance and annuities and then proposes a mortality swap between a life insurer and an annuity insurer. Compared with reinsurance, capital markets have a greater capacity to absorb insurance shocks, and they may offer more flexibility to meet insurers’ needs. Therefore, my second essay studies securitization of mortality risks in life annuities. Specifically I design a mortality bond to transfer longevity risks inherent in annuities or pension plans to financial markets. By explicitly taking into account the jumps in mortality stochastic processes, my third essay fills a gap in the mortality securitization modeling literature by pricing mortality securities in an incomplete market framework. Using the Survey of Consumer Finances, my fourth essay creates a new financial vulnerability index to examine a household’s life cycle demand for different types of life insurance.
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