[{"publication_status":"published","file":[{"relation":"main_file","file_size":589365,"date_created":"2019-05-28T07:28:59Z","success":1,"content_type":"application/pdf","checksum":"de39b173b1cd9d593a51df673eb24f69","file_name":"IMW_working_paper_616.pdf","access_level":"open_access","date_updated":"2019-05-28T07:28:59Z","creator":"weingarten","file_id":"2935799"}],"place":"Bielefeld","dc":{"source":["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."],"language":["eng"],"title":["Mortality Options: the Point of View of an Insurer"],"rights":["info:eu-repo/semantics/openAccess"],"description":["We consider the surplus process of a life insurer who is able to buy a securitisation\r\nproduct to hedge mortality in a discrete time framework. Two cohorts are\r\nconsidered: one underlying the securitisation product and one for the portfolio of\r\nthe insurer. In our main result we show that there exists a unique strategy that\r\nmaximises the expected utility of the insurer. Our findings are illustrated by a\r\ntractable model for mortality catastrophe risk."],"date":["2019"],"relation":["info:eu-repo/semantics/altIdentifier/issn/0931-6558"],"subject":["mortality option","optimal strategy","maximal utility","ex- ponential utility","ddc:330"],"publisher":["Center for Mathematical Economics"],"identifier":["https://pub.uni-bielefeld.de/record/2935798","https://pub.uni-bielefeld.de/download/2935798/2935799"],"type":["info:eu-repo/semantics/workingPaper","doc-type:workingPaper","text"],"creator":["Schmeck, Maren Diane","Schmidli, Hanspeter"]},"keyword":[],"user_id":"89573","intvolume":" 616","type":"working_paper","creator":{"id":"89573","login":"weingarten"},"has_accepted_license":"1","abstract":[{"lang":"eng"}],"language":[{}],"message":"Classification: Primary 91B30; secondary 93E20","department":[{"_id":"10053","tree":[{"_id":"10053"}]}],"_id":"2935798","series_title":"Center for Mathematical Economics Working Papers","oa":1,"publication_identifier":{"issn":[]},"citation":{"lncs":" 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).","chicago":"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.

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

Bielefeld: Center for Mathematical Economics.","ieee":" 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.","apa":"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.","angewandte-chemie":"M. D. Schmeck, and H. Schmidli, *Mortality Options: the Point of View of an Insurer*, Center For Mathematical Economics, Bielefeld, **2019**.","dgps":"Schmeck, M.D. & Schmidli, H. (2019). *Mortality Options: the Point of View of an Insurer* (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.

","harvard1":"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.","mla":"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.","bio1":"Schmeck MD, Schmidli H (2019)

*Mortality Options: the Point of View of an Insurer*. Center for Mathematical Economics Working Papers; 616.

Bielefeld: Center for Mathematical Economics.","apa_indent":"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.

","wels":"Schmeck, M. D.; Schmidli, H. (2019): Mortality Options: the Point of View of an Insurer. Bielefeld: Center for Mathematical Economics.","frontiers":"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."},"locked":"1","dini_type":"doc-type:workingPaper","volume":616,"author":[{"last_name":"Schmeck","full_name":"Schmeck, Maren Diane","id":"84348951","first_name":"Maren Diane"},{"full_name":"Schmidli, Hanspeter","first_name":"Hanspeter","last_name":"Schmidli"}],"date_created":"2019-05-28T07:32:55Z","file_date_updated":"2019-05-28T07:28:59Z","uri_base":"https://pub.uni-bielefeld.de","urn":"urn:nbn:de:0070-pub-29357981","status":"public","date_updated":"2019-05-28T07:33:51Z","ddc":[]}]