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.
| Identifer | oai:union.ndltd.org:GEORGIA/oai:digitalarchive.gsu.edu:rmi_diss-1013 |
| Date | 08 May 2006 |
| Creators | Lin, Yijia |
| Publisher | Digital Archive @ GSU |
| Source Sets | Georgia State University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Risk Management and Insurance Dissertations |
Page generated in 0.0018 seconds