For an equity-linked insurance, the death benefit is linked to the performance of the company’s investment portfolio. Hence, both mortality risk and equity return shall be considered for pricing such insurance. Several studies have found some dependence between mortality improvement and economy growth. In this thesis, we showed that American mortality rate and Dow Jones Industrial Average (DJIA) index price are negatively dependent by using several copulas to define the joint distribution. Then, we used these copulas to forecast mortality rates and index prices, and calculated the payoffs of a 10-year term equity-linked insurance. We showed that the predicted insurance payoffs will be smaller if dependence between mortality and index price is taken into account. / October 2016