Modeling pandemic mortality risk and its application to mortality-linked security pricing.

To provide insights for how to deal with pandemic mortality risk, this article introduces a mortality model that depicts the relevant pandemic effects on pricing mortality-linked securities, using a threshold jump approach. That is, to capture pandemic mortality dynamics across countries, we consider mortality jumps related to the pandemic shock and to a specific country shock. Pandemic jump occurs only when a pandemic event causes significant deaths worldwide, such as 1918 Spanish flu or COVID-19.