49 citations · 115 across the 28 of their papers we have counts for
4 papers · 1 filter
Hedging Pure Endowments with Mortality Derivatives
Ting Wang, Virginia R. Young
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. System…
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Erhan Bayraktar, Moshe Milevsky, David Promislow +1
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires comp…
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…
Pricing Life Insurance under Stochastic Mortality via the Instantaneous Sharpe Ratio: Theorems and Proofs
Virginia R. Young
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the for…