Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

DOI10.1016/j.insmatheco.2007.07.002zbMath1152.91612arXiv0705.1297OpenAlexW2068924101MaRDI QIDQ998283

Virginia R. Young

Publication date: 28 January 2009

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

Full work available at URL: https://arxiv.org/abs/0705.1297

zbMATH Keywords

nonlinear partial differential equationspricinglife insuranceSharpe ratiostochastic mortalitymarket price of riskequivalent martingale measures

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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