Investment in mortality-linked securities such as baskets of life settlements offer investors returns that are largely uncorrelated with other asset classes. The absence of academic work on the investment characteristics of such baskets is an obstacle to institutional investors entering this market. A Monte Carlo approach is used to quantify the diversification benefits in incorporating life settlement policies in a portfolio. The efficient frontier as well as questions concerning an optimum asset allocation when we combine these securities with equities and bonds in a portfolio is examined. In this presentation, I will introduce life settlement which is a financial arrangement when a third party buys the rights to the benefits of a life insurance policy from an insured individual or policyholder. I will also present some preliminary simulation results on how I model the behavior of a portfolio over a period of 10 years when we vary the initial allocation of equities/bonds and life settlements in the portfolio. Finally, I discuss what I plan to do next to extend this basic model into a more realistic model.