The Risk of a Mortality Catastrophe
死亡率灾难的风险
We develop a continuous-time model for analyzing and valuing catastrophe mortality contingent claims based on stochastic modeling of the force of mortality. We derive parameter estimates from a 105-year time series of U.S. population mortality data using a simulated maximum likelihood approach based on a particle filter. Relying on the resulting parameters, we calculate loss profiles for a representative catastrophe mortality transaction and compare them to the “official”…