Securitization of disability risk via bonds and swaps

Alexander Hendrik Maegebier (Department of Insurance Economics and Risk Management, Friedrich-Alexander University of Erlangen-Nürnberg (FAU), Nuremberg, Germany)

Journal of Risk Finance

ISSN: 1526-5943

Publication date: 17 August 2015



Two strands of the literature are combined, namely the modeling of disability insurance and the design, valuation and discussion of insurance-linked securities.


This paper provides a discussion regarding the advantages and detriments of disability-linked securities in comparison with mortality-linked bonds and swaps as well as regarding potential disability-linked indices and the potential use. The discussion is followed by an introduction of a potential design and a corresponding valuation of disability bonds and swaps.


This securitization will provide useful tools for the risk management of disability risk in a risk-based regulatory framework.


No disability-linked securities have been defined and discussed so far.



The author would like to thank the anonymous reviewers for their suggestions on previous versions of the manuscript.


Maegebier, A.H. (2015), "Securitization of disability risk via bonds and swaps", Journal of Risk Finance, Vol. 16 No. 4, pp. 407-424.

Download as .RIS



Emerald Group Publishing Limited

Copyright © 2015, Emerald Group Publishing Limited

To read the full version of this content please select one of the options below

You may be able to access this content by logging in via Shibboleth, Open Athens or with your Emerald account.
To rent this content from Deepdyve, please click the button.
If you think you should have access to this content, click the button to contact our support team.