Valuation and hedging of life insurance liabilities with systematic mortality risk

DOI10.1016/j.insmatheco.2006.02.007zbMath1201.91089OpenAlexW2065660452MaRDI QIDQ849589

Publication date: 31 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.007

zbMATH Keywords

equivalent martingale measure affine mortality structure risk-minimization stochastic mortality mean-variance indifference pricing Thiele's differential equation

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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