Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities

DOI10.1016/j.jedc.2008.09.004zbMath1170.91406arXiv0802.3250OpenAlexW3123910813MaRDI QIDQ2271661

S. David Promislow, Virginia R. Young, Erhan Bayraktar, Moshe Arye Milevsky

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.3250

zbMATH Keywords

nonlinear partial differential equations pricing Sharpe ratio stochastic mortality market price of risk equivalent martingale measures annuities

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Nonlinear systems in control theory (93C10) Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work