The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts

DOI10.1016/j.insmatheco.2011.08.001zbMath1228.91041OpenAlexW3125785006MaRDI QIDQ654825

Jing Li, Alexander Szimayer

Publication date: 21 December 2011

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

Full work available at URL: http://hdl.handle.net/10419/38809

zbMATH Keywords

stochastic controlmortality model riskprice boundsunit-linked life insurance contracts

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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