Mortality Options: the Point of View of an Insurer

Schmeck MD, Schmidli H (2019) Center for Mathematical Economics Working Papers; 616.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
Download
OA 589.37 KB
Autor/in
;
Abstract / Bemerkung
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.
Stichworte
mortality option; optimal strategy; maximal utility; ex- ponential utility
Erscheinungsjahr
2019
Band
616
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2935798

Zitieren

Schmeck MD, Schmidli H. Mortality Options: the Point of View of an Insurer. Center for Mathematical Economics Working Papers. Vol 616. Bielefeld: Center for Mathematical Economics; 2019.
Schmeck, M. D., & Schmidli, H. (2019). Mortality Options: the Point of View of an Insurer (Center for Mathematical Economics Working Papers, 616). Bielefeld: Center for Mathematical Economics.
Schmeck, M. D., and Schmidli, H. (2019). Mortality Options: the Point of View of an Insurer. Center for Mathematical Economics Working Papers, 616, Bielefeld: Center for Mathematical Economics.
Schmeck, M.D., & Schmidli, H., 2019. Mortality Options: the Point of View of an Insurer, Center for Mathematical Economics Working Papers, no.616, Bielefeld: Center for Mathematical Economics.
M.D. Schmeck and H. Schmidli, Mortality Options: the Point of View of an Insurer, Center for Mathematical Economics Working Papers, vol. 616, Bielefeld: Center for Mathematical Economics, 2019.
Schmeck, M.D., Schmidli, H.: Mortality Options: the Point of View of an Insurer. Center for Mathematical Economics Working Papers, 616. Center for Mathematical Economics, Bielefeld (2019).
Schmeck, Maren Diane, and Schmidli, Hanspeter. Mortality Options: the Point of View of an Insurer. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 616.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2019-05-28T07:28:59Z
MD5 Prüfsumme
de39b173b1cd9d593a51df673eb24f69

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar