The purpose of this article is to study mortality-based securities, such as mortality bonds and swaps, and to price the … proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied …

some probability of ruin in either case: the bond portfolio may be exhausted while the bettor is still alive, or the bettor … may die before the bond portfolio runs down. The paper applies a historical rather than mathematical lens to calculate the … bond yields are very low. However, if the annuity provider cannot harvest a spread over the safe government bond yield and …

expectancy and a major expansion in securitization and shadow banking activities. We argue they are intimately related. Agents … heavily on intermediaries that use securitization, with riskier but higher returns. A quantitative evaluation of the model … more extensive use of securitization and shadow banking.Institutional subscribers to the NBER working paper series, and …

expectancy and a major expansion in securitization and shadow banking activities. We argue they are intimately related. Agents … heavily on intermediaries that use securitization, with riskier but higher returns. A quantitative evaluation of the model … more extensive use of securitization and shadow banking …