Seminar by Prof. Daniel LINDERS from Amsterdam School of Economics, University of Amsterdam

This paper presents a new class of pandemic-linked securities which combine financial derivatives for pandemic risk with a peer-to-peer (P2P) structure. The work is intended to bring fresh perspectives to the ongoing debate on the development of international framework for health emergency preparedness and response.

Our P2P pandemic-linked securities provide tools to countries to manage pandemic risk. Compared to existing products, our solution offers more flexibility with payment triggers catering to the needs of individual countries and a better inclusion of co-funding agencies beyond investors. We provide a framework for modeling dependent multi-country triggers and for determining the optimal payments of the different parties involved. We provide several hypothetical examples to shed light on the risk sharing mechanisms between countries.

Daniel Linders is an Associate professor of Actuarial Science and Mathematical Finance at the University of Amsterdam. He completed a Doctoral Program in Business Economics from KU Leuven (Belgium), with a thesis on measuring herd behavior in financial markets. Daniel has held various academic positions. He was an Assistant Professor at the University of Illinois (US), a postdoctoral researcher at TUM (Germany) and a visiting lecturer at the Université Libre de Bruxelles and the University of Antwerp. The research of Daniel Linders is situated at the crossover between quantitative finance and actuarial science.