  In this paper, we are concerned with the valuation of Catastrophic Mortality
Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond
2003 as a primary example of this class of assets. This bond was the first
Catastrophic Mortality Bond to be launched in the market and encapsulates the
behaviour of a well-defined mortality index to generate payoffs for
bondholders. Pricing these type of bonds is a challenging task and no closed
form solution exists in the literature. In our approach, we express the payoff
of such a bond in terms of the payoff of an Asian put option and present a new
approach to derive model-independent bounds exploiting comonotonic theory as
illustrated in \cite{prime1}, \cite{2} and \cite{Simon} for the pricing of
Asian options. We carry out Monte Carlo simulations to estimate the bond price
and illustrate the quality of the bounds.
