Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process

DOI10.1080/03461230701795907zbMath1224.91055OpenAlexW2020386135MaRDI QIDQ3077724

Łukasz Delong

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701795907

zbMATH Keywords

Lévy processindifference pricingsystematic mortality risklife insurance portfolio

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (5)

Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ A Markov Process Modeling and Analysis of Indifference Pricing of Insurance Contracts for Home Reversion Plan for a Pair of Insureds ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk

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