Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates

DOI10.1016/j.insmatheco.2006.11.009zbMath1141.91531OpenAlexW2017576954MaRDI QIDQ939322

Michael Ludkovski, Virginia R. Young

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.009

zbMATH Keywords

exponential utilitynonlinear expectationsstochastic mortalityindifference pricingmortality-contingent claims

Mathematics Subject Classification ID

Related Items (14)

From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process ⋮ Indifference Pricing of a GLWB Option in Variable Annuities ⋮ An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ Correlated intensity, counter party risks, and dependent mortalities ⋮ INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT ⋮ Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies ⋮ Risk aggregation and stochastic claims reserving in disability insurance ⋮ A Markov Process Modeling and Analysis of Indifference Pricing of Insurance Contracts for Home Reversion Plan for a Pair of Insureds ⋮ Relative Hedging of Systematic Mortality Risk

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