Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
- Leland, Hayne E, 1985.
" Option Pricing and Replication with Transactions Costs,"
Journal of Finance,
American Finance Association, vol. 40(5), pages 1283-1301, December.
- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
- Marek Musiela & Thaleia Zariphopoulou, 2004. "A valuation algorithm for indifference prices in incomplete markets," Finance and Stochastics, Springer, vol. 8(3), pages 399-414, August.
- Vicky Henderson, 2002. "Valuation Of Claims On Nontraded Assets Using Utility Maximization," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 351-373.
- Bouchard, Bruno & Touzi, Nizar, 2004. "Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 175-206, June.
- Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.
- Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 231-245, October.
- Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
- 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.
- 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.
- Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
- Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
- 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.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016.
"The Cost of Counterparty Risk and Collateralization in Longevity Swaps,"
Journal of Risk & Insurance,
The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
- Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
- 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.
- 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.
- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008. "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities," Papers 0802.3250, arXiv.org.
- Ma, Jin & Yun, Youngyun, 2010. "Correlated intensity, counter party risks, and dependent mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 337-351, December.
- Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2017. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.
- Thomas Post, 2009. "Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality," SFB 649 Discussion Papers SFB649DP2009-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- repec:eee:insuma:v:77:y:2017:i:c:p:119-132 is not listed on IDEAS
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2018. "Indifference pricing of life insurance contracts via BSDEs under partial information," Papers 1804.00223, arXiv.org.
- Djehiche, Boualem & Löfdahl, Björn, 2014.
"Risk aggregation and stochastic claims reserving in disability insurance,"
Insurance: Mathematics and Economics,
Elsevier, vol. 59(C), pages 100-108.
- Boualem Djehiche & Bjorn Lofdahl, 2014. "Risk aggregation and stochastic claims reserving in disability insurance," Papers 1401.3589, arXiv.org, revised Aug 2014.
More about this item
StatisticsAccess and download statistics
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:42:y:2008:i:1:p:14-30. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.