Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
From MaRDI portal
Publication:2271661
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
nonlinear partial differential equationspricingSharpe ratiostochastic mortalitymarket price of riskequivalent martingale measuresannuities
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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