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Article
Publication date: 17 August 2015

Alexander Hendrik Maegebier

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

Abstract

Purpose

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

Design/methodology/approach

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.

Findings

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

Originality/value

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

Details

The Journal of Risk Finance, vol. 16 no. 4
Type: Research Article
ISSN: 1526-5943

Keywords

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