Jess & Mildred Fisher College of Science & Mathematics


Department of Mathematics

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Mathematics Seminar Information

Faculty Seminar

The next meeting of the faculty seminar will take place on Thursday, October 23, in YR 320, starting at 3:30 p.m. The speaker will be Dr. Ge Han, who will give a lecture on Managing Longevity Risk via Mortality-Linked Securities .

Abstract: Longevity risk is the risk caused by the increasing life expectancy. Governments face the challenge of financing an ageing population with longer life spans and providing an environment conducive to private market solutions. Innovations such as securitization in the management of longevity risk come to light in December 2003, when Swiss Re issued a three-year life catastrophe bond. Managing longevity risk via mortality-linked securities to transfer, reduce, or share the longevity risk is also meaningful for institutions and individuals alike. A fundamental question to study mortality-linked securities is how to evaluate them properly. It can be answered by the no arbitrage theory with predicted mortality rates using mortality models. Based on the observation of a strong logistic progression pattern in the mortality of the U.S. population, we propose a stochastic logistic model. The parameters in the model are then estimated using the data from the Human Mortality Database. We also calculated the EIB/BNP longevity bond price as an example of the mortality-linked securities.


(Note. This is a sabbatical talk.)





Past talks include:



Department of Mathematics
7800 York Road, Room 316 (campus map)
Hours: Monday - Friday, 8:30 a.m. – 5 p.m.

Phone: 410-704-3091
Fax: 410-704-4149
E-mail: math@towson.edu


 

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