Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
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- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
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Cited by:
- Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
- Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
- Chen, Chang-Chih & Chang, Chia-Chien & Sun, Edward W. & Yu, Min-Teh, 2022. "Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness," European Journal of Operational Research, Elsevier, vol. 300(2), pages 727-742.
- Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
- Ting Wang & Virginia R. Young, 2010. "Hedging Pure Endowments with Mortality Derivatives," Papers 1011.0248, arXiv.org.
- Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung, 2019. "Optimal consumption and investment with insurer default risk," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 44-56.
- Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
- Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio, 2017.
"A Multivariate Model of Strategic Asset Allocation with Longevity Risk,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2251-2275, October.
- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2017. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Post-Print hal-01633544, HAL.
- Favero, Carlo A. & Bisetti, Emilio & Nocera, Giacomo & Tebaldi, Claudio, 2015. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," CEPR Discussion Papers 10595, C.E.P.R. Discussion Papers.
- Wang, Ting & Young, Virginia R., 2016. "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 238-255.
- Yijia Lin & Sheen Liu & Jifeng Yu, 2013. "Pricing Mortality Securities With Correlated Mortality Indexes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 921-948, December.
- Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 423-448, June.
- Ballestra, Luca Vincenzo & Ottaviani, Massimiliano & Pacelli, Graziella, 2012. "An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 442-448.
- Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
- Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018.
"Longevity risk and capital markets: The 2015–16 update,"
Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2018. "Indifference pricing of pure endowments via BSDEs under partial information," Papers 1804.00223, arXiv.org, revised Jul 2020.
- Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
- Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
- Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Working Papers hal-02896141, HAL.
- Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2016. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Working Papers hal-01258645, HAL.
- Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, September.
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- Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.
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