49 citations · 115 across the 28 of their papers we have counts for
6 papers · 1 filter
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…
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
Erhan Bayraktar, Virginia R. Young
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by cons…
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
Erhan Bayraktar, Virginia R. Young
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, a…
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
Erhan Bayraktar, Virginia R. Young
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let th…
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
Erhan Bayraktar, Virginia R. Young
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative sec…