[{"intvolume":" 616","keyword":["mortality option","optimal strategy","maximal utility","ex- ponential utility"],"accept":"1","date_updated":"2019-05-28T07:33:51Z","publication_status":"published","_id":"2935798","abstract":[{"lang":"eng","text":"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."}],"file_date_updated":"2019-05-28T07:28:59Z","locked":"1","urn":"urn:nbn:de:0070-pub-29357981","series_title":"Center for Mathematical Economics Working Papers","type":"working_paper","file":[{"file_size":589365,"access_level":"open_access","creator":"weingarten","success":1,"date_updated":"2019-05-28T07:28:59Z","file_id":"2935799","file_name":"IMW_working_paper_616.pdf","relation":"main_file","date_created":"2019-05-28T07:28:59Z","content_type":"application/pdf"}],"department":[{"_id":"10053"}],"date_created":"2019-05-28T07:32:55Z","user_id":"89573","publication_identifier":{"issn":["0931-6558"]},"citation":{"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.

","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.","default":"Schmeck MD, Schmidli H (2019) 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.

","ama":"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.","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.

","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.","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.","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).","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.","wels":"Schmeck, M. D.; Schmidli, H. (2019): Mortality Options: the Point of View of an Insurer. 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.","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**."},"ddc":["330"],"place":"Bielefeld","volume":616,"title":"Mortality Options: the Point of View of an Insurer","oa":1,"language":[{"iso":"eng"}],"year":"2019","author":[{"id":"84348951","last_name":"Schmeck","first_name":"Maren Diane","full_name":"Schmeck, Maren Diane"},{"last_name":"Schmidli","first_name":"Hanspeter","full_name":"Schmidli, Hanspeter"}],"status":"public","publisher":"Center for Mathematical Economics"}]