most citedFinancial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

21 citations · 21 across the 1 of their papers we have counts for

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1 paper

q-fin.PR2007★ 21 cited

Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

Moshe A. Milevsky, S. David Promislow, Virginia R. Young

We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires comp…