Event Paper: del Independent Price Bounds for Catastrophic Mortality Bonds

Raj Kumari Bahl University of Edinburgh (Ph.D. funded by IFoA & UoE) International Mortality and Longevity Symposium 7-9 September 2016 August 21, 2016

• Introduction 
• Historical Facts 
• The Problem 
• Available Methodologies 
• Case Study: Swiss Re Mortality Bond 2003 
• A Model-independent Approach 
• Lower Bounds for the Swiss Re Bond 
• Upper Bounds for the Swiss Re Bond 
• Numerical Results 
• What Lies Ahead? 
• Further Research 
• The Modeling Aspect