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 |
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