Risk-minimization for life insurance liabilities with dependent mortality risk

DOI10.1111/MAFI.12095MaRDI QIDQ6497103FDOQ6497103

Authors: Francesca Biagini, Camila Botero, Irene Schreiber 

Publication date: 6 May 2024

Published in: Mathematical Finance (Search for Journal in Brave)

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zbMATH Keywords

random fieldaffine mortality structuremartingale representationrisk-minimizationstochastic mortalityunit-linked life insurancedependent mortality risklife insurance liabilities

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

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Cited In (1)

• Insurance-finance arbitrage

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