Tsai J.T.Tzeng L.Y.2019-07-222019-07-22201305150361https://scholars.lib.ntu.edu.tw/handle/123456789/414429Abstract This study introduces an equilibrium approach to price mortality-linked securities in a discrete time economy, assuming that the mortality rate has a transformed normal distribution. This pricing method complements current studies on the valuation of mortality-linked securities, which only have discrete trading opportunities and insufficient market trading data. Like the Wang transform, the valuation relationship is still risk-neutral (preference-free) and the mortality-linked security is priced as the expected value of its terminal payoff, discounted by the risk-free rate. This study provides an example of pricing the Swiss Re mortality bond issued in 2003 and obtains an approximated closed-form solution. ? 2013 by Astin Bulletin.Longevity riskmortality-linked security valuationtransform normal distribution[SDGs]SDG3journal article10.1017/asb.2013.32-s2.0-84879350371https://www.scopus.com/inward/record.uri?eid=2-s2.0-84879350371&doi=10.1017%2fasb.2013.3&partnerID=40&md5=b4e3994af748ce128b53ec3142d22d97