Indifference pricing of insurance-linked securities in a multi-period model

DOI10.1016/j.ejor.2020.07.028zbMath1487.91140OpenAlexW3044436207MaRDI QIDQ2029066

Zhongyi Yuan, Haibo Liu, Qi-he Tang

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.07.028

zbMATH Keywords

pricingexponential utilitytime consistencycontingent claimmulti-period model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (4)

Pricing extreme mortality risk in the wake of the COVID-19 pandemic ⋮ Indifference pricing of credit default swaps in a multi-period model ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Bond indifference prices

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