Hedging pure endowments with mortality derivatives

DOI10.1016/j.insmatheco.2016.05.006zbMath1369.91100arXiv1011.0248OpenAlexW1885866444MaRDI QIDQ344001

Virginia R. Young, Ting Wang

Publication date: 21 November 2016

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

Full work available at URL: https://arxiv.org/abs/1011.0248

zbMATH Keywords

incomplete marketlongevity risklife annuities\(q\)-forwardinstantaneous Sharpe ratiomortality-linked derivatives

Mathematics Subject Classification ID

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

Cites Work

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