Risk-minimization for life insurance liabilities with dependent mortality risk

DOI10.1111/MAFI.12095MaRDI QIDQ6497103zbMATH OpenFDO

Authors Francesca Biagini, Camila Botero, Irene Schreiber

Publication date 6 May 2024

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/MAFI.12095

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)

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Cited in

(3)

• Indifference pricing of mortality-linked securities using backward stochastic differential equations
• Long-range dependent mortality modeling with cointegration
• Insurance-finance arbitrage

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