Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities (Q2271661)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities |
scientific article |
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Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities (English)
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7 August 2009
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stochastic mortality
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pricing
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annuities
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Sharpe ratio
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nonlinear partial differential equations
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market price of risk
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equivalent martingale measures
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