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Mortality Options: the Point of View of an Insurer

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  • Schmeck, Maren Diane

    (Center for Mathematical Economics, Bielefeld University)

  • Schmidli, Hanspeter

    (Center for Mathematical Economics, Bielefeld University)

Abstract

We consider the surplus process of a life insurer who is able to buy a securitisation product to hedge mortality in a discrete time framework. Two cohorts are considered: one underlying the securitisation product and one for the portfolio of the insurer. In our main result we show that there exists a unique strategy that maximises the expected utility of the insurer. Our findings are illustrated by a tractable model for mortality catastrophe risk.

Suggested Citation

  • Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:616
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    File URL: https://pub.uni-bielefeld.de/download/2935798/2935799
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    References listed on IDEAS

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    Cited by:

    1. Nendel, Max & Riedel, Frank & Schmeck, Maren Diane, 2021. "A decomposition of general premium principles into risk and deviation," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 193-209.

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    Keywords

    mortality option; optimal strategy; maximal utility; ex- ponential utility;
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