Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
type: Item
instance of: scholarly article
title: Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
zbMATH Open document ID: 1141.91531
author: Michael Ludkovski
author: Virginia R. Young
published in: Insurance Mathematics \& Economics
publication date: 2008-08-22T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5315257
zbMATH Keywords: stochastic mortality
zbMATH Keywords: indifference pricing
zbMATH Keywords: mortality-contingent claims
zbMATH Keywords: exponential utility
zbMATH Keywords: nonlinear expectations
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2006.11.009
OpenAlex ID: W2017576954
cites work: Rational hedging and valuation of integrated risks under constant absolute risk aversion.
cites work: Q3158097
cites work: Affine processes for dynamic mortality and actuarial valuations
cites work: Dynamic asset pricing theory with uncertain time-horizon
cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
cites work: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression
cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
cites work: Valuation and hedging of life insurance liabilities with systematic mortality risk
cites work: European Option Pricing with Transaction Costs
cites work: Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
cites work: Q3613975
cites work: Q4002114
cites work: Q2703816
cites work: Q4002884
cites work: Modeling and Forecasting U.S. Mortality
cites work: FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
cites work: Mortality derivatives and the option to annuitise.
cites work: Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
cites work: A valuation algorithm for indifference prices in incomplete markets
cites work: Uncertainty in mortality projections: an actuarial perspective
cites work: Q3374068
cites work: Risk Aversion in the Small and in the Large
cites work: Affine stochastic mortality
cites work: A guided tour through quadratic hedging approaches
cites work: Q5665539
cites work: Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
cites work: Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
cites work: PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
DOI: 10.1016/J.INSMATHECO.2006.11.009
description: scientific article; zbMATH DE number 5315257