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Valuation and hedging of life insurance liabilities with systematic mortality risk

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  • Dahl, Mikkel
  • Moller, Thomas

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  • 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.
  • Handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:193-217
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    References listed on IDEAS

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    1. Thomas Møller, 2001. "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, vol. 5(4), pages 419-446.
    2. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, pages 573-592.
    3. Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, pages 113-136.
    4. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, pages 1-28.
    5. Moller, Thomas, 2003. "Indifference pricing of insurance contracts in a product space model: applications," Insurance: Mathematics and Economics, Elsevier, pages 295-315.
    6. Yoosef Maghsoodi, 1996. "Solution Of The Extended Cir Term Structure And Bond Option Valuation," Mathematical Finance, Wiley Blackwell, vol. 6(1), pages 89-109.
    7. Schweizer, Martin, 2001. "From actuarial to financial valuation principles," Insurance: Mathematics and Economics, Elsevier, pages 31-47.
    8. F. Jamshidian, 1995. "A simple class of square-root interest-rate models," Applied Mathematical Finance, Taylor & Francis Journals, pages 61-72.
    9. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, pages 299-318.
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