TY - JOUR T1 - Analyzing the Different Modules of Longevity Risk in Death Bonds JF - The Journal of Alternative Investments SP - 35 LP - 44 DO - 10.3905/jai.2018.21.3.035 VL - 21 IS - 3 AU - Dror Parnes Y1 - 2018/12/31 UR - https://pm-research.com/content/21/3/35.abstract N2 - The author presents an actuarial prognostic model that can disentangle and assess two complementary modules of longevity risk for death bonds. He tracks the probable paths over time of the transition rates for life settlement issuers across three states of nature: healthy, terminally ill, and dead. Through that, he is able to examine the influence of some varying assumptions on the likely course of the inclusive death intensity for an underlying pool of life settlements. The author is thus able to enhance transparency in this market by better predicting the overall yield curves of death bonds and their feasible trajectories. The proposed model can assist life settlement providers, brokers, investors, and credit raters in planning and preparing for possible evolutions in the overall death intensity among pools of life settlement issuances.TOPICS: Retirement, fixed income and structured finance, risk management ER -