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Pricing Extreme Mortality Risk in Volatile Times

COVID-19 has increased the challenge of properly pricing extreme mortality risk. Han Li, Haibo Liu, Qihe Tang, Zhongyi Yuan analyze the latest U.S. mortality and interest rate data to determine the pandemic’s impact, and propose a risk-neutral pricing measure that accounts for both a diffusion risk premium and a jump risk premium.

November 29, 2021

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