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.
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| Veröffentlicht | Englisch
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Autor*in
Schmeck, Maren DianeUniBi;
Schmidli, Hanspeter
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
Serientitel
Center for Mathematical Economics Working Papers
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, Maren Diane, and Schmidli, Hanspeter. 2019. Mortality Options: the Point of View of an Insurer. Vol. 616. Center for Mathematical Economics Working Papers. 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.
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