Description: This is the abstract for the presentation on pricing mortality-linked securities with dependent lives under the multivariate threshold life table.

Description: This paper employs the theory of real option pricing to address problems in the area of operational risk management. Particularly, it develops a two-stage model to help firms determine the optimal triggers in the event of an influenza pandemic. The first stage proposes a regime-dependent epidemic model to simulate the spread of the virus, depending on whether the firm is active or inactive. The second stage views the reactivation decision as a call option and the suspension decision as a put option, and uses dynamic programming method to determine the optimal switching thresholds.

Description: This paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast mortality rates and analyze mortality securitization.