[{"year":"2019","author":[{"full_name":"Schmeck, Maren Diane","first_name":"Maren Diane","last_name":"Schmeck","id":"84348951"},{"full_name":"Schmidli, Hanspeter","last_name":"Schmidli","first_name":"Hanspeter"}],"keyword":["mortality option","optimal strategy","maximal utility","ex- ponential utility"],"publication_identifier":{"issn":["0931-6558"]},"type":"working_paper","file":[{"checksum":"de39b173b1cd9d593a51df673eb24f69","file_id":"2935799","file_name":"IMW_working_paper_616.pdf","success":1,"date_updated":"2019-05-28T07:28:59Z","access_level":"open_access","file_size":589365,"relation":"main_file","content_type":"application/pdf","creator":"weingarten","date_created":"2019-05-28T07:28:59Z"}],"ddc":["330"],"series_title":"Center for Mathematical Economics Working Papers","publication_status":"published","place":"Bielefeld","date_created":"2019-05-28T07:32:55Z","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."}],"intvolume":" 616","_id":"2935798","language":[{"iso":"eng"}],"title":"Mortality Options: the Point of View of an Insurer","volume":616,"urn":"urn:nbn:de:0070-pub-29357981","locked":"1","department":[{"_id":"10053"}],"date_updated":"2019-05-28T07:33:51Z","status":"public","citation":{"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.","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.","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.","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.","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.

","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.","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.

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

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