IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v35y2004i1p113-136.html
   My bibliography  Save this article

Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

Author

Listed:
  • Dahl, Mikkel

Abstract

No abstract is available for this item.

Suggested Citation

  • Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(04)00064-2
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Thomas Møller, 2001. "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, vol. 5(4), pages 419-446.
    2. Yoosef Maghsoodi, 1996. "Solution Of The Extended Cir Term Structure And Bond Option Valuation," Mathematical Finance, Wiley Blackwell, vol. 6(1), pages 89-109, January.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    4. Ragnar Norberg, 1999. "A theory of bonus in life insurance," Finance and Stochastics, Springer, vol. 3(4), pages 373-390.
    5. Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 231-245, October.
    6. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dahl, Mikkel & Moller, Thomas, 2006. "Valuation and hedging of life insurance liabilities with systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 193-217, October.
    2. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
    3. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    4. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
    5. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
    6. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
    7. repec:uts:finphd:40 is not listed on IDEAS
    8. Robert Elliott & Katsumasa Nishide, 2014. "Pricing of discount bonds with a Markov switching regime," Annals of Finance, Springer, vol. 10(3), pages 509-522, August.
    9. Ludkovski, Michael & Young, Virginia R., 2008. "Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 14-30, February.
    10. repec:vuw:vuwscr:19153 is not listed on IDEAS
    11. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics and Public Policy Working Papers 2011-26, University of Adelaide, School of Economics and Public Policy.
    12. Zeddouk, Fadoua & Devolder, Pierre, 2019. "Mean reversion in stochastic mortality : why and how?," LIDAM Discussion Papers ISBA 2019018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Erik Schlogl & Lutz Schlogl, 2000. "A square root interest rate model fitting discrete initial term structure data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 183-209.
    14. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018.
    15. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
    16. Ding, Kailin & Ning, Ning, 2021. "Markov chain approximation and measure change for time-inhomogeneous stochastic processes," Applied Mathematics and Computation, Elsevier, vol. 392(C).
    17. Daglish, Toby, 2010. "Lattice methods for no-arbitrage pricing of interest rate securities," Working Paper Series 4050, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    18. Sutthimat, Phiraphat & Mekchay, Khamron & Rujivan, Sanae, 2022. "Closed-form formula for conditional moments of generalized nonlinear drift CEV process," Applied Mathematics and Computation, Elsevier, vol. 428(C).
    19. Josheski Dushko & Apostolov Mico, 2021. "Equilibrium Short-Rate Models Vs No-Arbitrage Models: Literature Review and Computational Examples," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(3), pages 42-71, September.
    20. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
    21. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    22. Lorenz Schneider & Bertrand Tavin, 2015. "Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets," Papers 1506.05911, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:35:y:2004:i:1:p:113-136. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.