Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we...

This paper proposes a stochastic mortality model featuring both permanent longevity jump and temporary mortality jump processes. A trend reduction component describes unexpected mortality improvement over an extended period of time. The model also captures the uneven effect of mortality events...

The purpose of this paper is to build a modeling and pricing framework to investigate the sustainability of the Home Equity Conversion Mortgage (HECM) program in the United States under realistic economic scenarios, i.e., whether the premium payments cover the fair premiums for the inherent...