Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities
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Yawen Hwang
This article proposes the modified logistic mortality model as a potential moderation of current models. The fitting and forecasting effects of the proposed modified logistic mortality model are efficient for the mortality data of the United States, Japan, England and Wales, and the modified logistic model provides the best forecasting for persons older than age 30 years under MAPE criterion. In addition, this study considers how to use longevity bonds to manage longevity risk. We apply the proposed modified logistic mortality model to price the bond, and to improve the attractiveness of that bond, we design it to encompass more than one tranche, according to the concept of collateral debt obligation. This design offers investors more choices pertaining to their different risk preferences.
©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Articles in the same Issue
- Featured Article
- Political Risk Insurance and Foreign Direct Investments
- Why Some Disaster Insurance Does not Exist
- Demographic Shift and Financial Markets in APEC: New Age Solutions to Age Old Challenges
- Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities
- Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims
- Risk Reporting Practices of Indian Companies in the SENSEX
Articles in the same Issue
- Featured Article
- Political Risk Insurance and Foreign Direct Investments
- Why Some Disaster Insurance Does not Exist
- Demographic Shift and Financial Markets in APEC: New Age Solutions to Age Old Challenges
- Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities
- Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims
- Risk Reporting Practices of Indian Companies in the SENSEX
