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 to other lines of annuity or life insurance

The purpose of this study is to analyze securitization of longevity risk with an emphasis on longevity risk modeling and longevity bond premium pricing. Various longevity derivatives have been proposed, and the capital market has experienced one unsuccessful attempt by the European Investment...

In this paper, we investigate systemic risk of 157 insurers around the globe. We construct tail risk networks among these insurers using a single-index model for quantile regressions with a variable selection technique. We develop new network-based systemic risk indices, taking into account...

Reinsurance is the primary source of interconnectedness in the insurance industry. As such, reinsurance connectivity provides a transmission mechanism for financial shocks and potentially exposes insurers to contagion and systemic risk. In this paper, connectivity within the U.S....