Valuation and hedging of life insurance liabilities with systematic mortality risk (Q849589)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation and hedging of life insurance liabilities with systematic mortality risk |
scientific article |
Statements
Valuation and hedging of life insurance liabilities with systematic mortality risk (English)
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31 October 2006
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stochastic mortality
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affine mortality structure
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equivalent martingale measure
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risk-minimization
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mean-variance indifference pricing
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Thiele's differential equation
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