Valuation and hedging of life insurance liabilities with systematic mortality risk
type: Item
instance of: scholarly article
title: Valuation and hedging of life insurance liabilities with systematic mortality risk
zbMATH Open document ID: 1201.91089
author: Mikkel Dahl
author: Thomas Møller
published in: Insurance Mathematics \& Economics
publication date: 2006-10-31T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5069019
zbMATH Keywords: stochastic mortality
zbMATH Keywords: affine mortality structure
zbMATH Keywords: equivalent martingale measure
zbMATH Keywords: risk-minimization
zbMATH Keywords: mean-variance indifference pricing
zbMATH Keywords: Thiele's differential equation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2006.02.007
OpenAlex ID: W2065660452
cites work: Statistical models based on counting processes
cites work: Rational hedging and valuation of integrated risks under constant absolute risk aversion.
cites work: Arbitrage Theory in Continuous Time
cites work: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
cites work: A theory of the term structure of interest rates
cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
cites work: Q3815091
cites work: Pricing Interest-Rate-Derivative Securities
cites work: A simple class of square-root interest-rate models
cites work: SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
cites work: Mortality derivatives and the option to annuitise.
cites work: Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
cites work: Hedging Equity-Linked Life Insurance Contracts
cites work: On transformations of actuarial valuation principles.
cites work: Risk-minimizing hedging strategies for insurance payment processes
cites work: Indifference pricing of insurance contracts in a product space model
cites work: Indifference pricing of insurance contracts in a product space model: Applications
cites work: On Bonus and Bonus Prognoses in Life Insurance
cites work: Q4868517
cites work: On the minimal martingale measure and the möllmer-schweizer decomposition
cites work: A guided tour through quadratic hedging approaches
cites work: From actuarial to financial valuation principles
cites work: A no arbitrage approach to Thiele's differential equation
cites work: An equilibrium characterization of the term structure
DOI: 10.1016/J.INSMATHECO.2006.02.007
description: scientific article; zbMATH DE number 5069019