In this paper, we apply the linear hazard transform to mortality immunization. When there is a change in mortality rates, the respective surplus (negative reserve) changes for life insurance and annuity policies lead to oppositive sign changes, which provides mortality hedging strategies with a...

Since weather-related disasters have an upward trend-cycle movement and the global financial crisis has revealed the severity of counterparty risk, this study reinvestigates and incorporates the catastrophe characteristics and counterparty risk into the valuation of catastrophe products. First,...