A Unified Framework for Insurance Demand and Mortality Immunization

DOI10.1080/10920277.2023.2218465MaRDI QIDQ6583016zbMATH OpenFDO

Authors Hua Chen, Jin Gao, Wei Zhu

Publication date 5 August 2024

Published in North American Actuarial Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Stochastic mortality under measure changes
• On the mortality/longevity risk hedging with mortality immunization
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Cites work

• Actuarial applications of the linear hazard transform in mortality immunization
• Annuitization and asset allocation
• Applications of mortality durations and convexities in natural hedges
• Delta-gamma hedging of mortality and interest rate risk
• Dynamic asset allocation when bequests are luxury goods
• Myopic Loss Aversion and the Equity Premium Puzzle
• Natural hedging of life and annuity mortality risks
• On the Stability of the Competitive Equilibrium, I
• On the Stability of the Competitive Equilibrium, II
• On the mortality/longevity risk hedging with mortality immunization
• On the optimal product mix in life insurance companies using conditional value at risk
• Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
• Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
• Prospect theory and asset prices
• Some Remarks on the Equilibria of Economic Systems

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