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20072025
most citedFinancial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

21 citations · 31 across the 15 of their papers we have counts for

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q-fin.PR2008

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…