The choice of trigger in an insurance linked security: the mortality risk case

DOI10.1016/J.INSMATHECO.2017.09.018zbMath1398.91346OpenAlexW2337767365MaRDI QIDQ1697234

Andreas Richter, Richard D. MacMinn

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.09.018

zbMATH Keywords

insurancedefault riskalternative risk transferindemnity triggerindex triggermortality based security

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Gompertz law revisited: forecasting mortality with a multi-factor exponential model ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

Cites Work

• Spectral localization of operators in Banach spaces
• On Moral Hazard and Insurance

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