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Hedging life insurance with pure endowments · Study

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ArticleHedging life insurance with pure endowments

Erhan Bayraktar2006

Article2006

Hedging life insurance with pure endowments

Erhan Bayraktar · Virginia R. Young

35 citations·0/0 files stored·Insurance Mathematics and Economics

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Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications Probability and Risk Models

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References

2007Brownian Motion and Stochastic Calculus 1991Brownian motion and stochastic calculus 2006Towards a General Theory of Good-Deal Bounds 2009On the pricing of longevity-linked securities

Cited by

2007Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio 2011Optimal commutable annuities to minimize the probability of lifetime ruin 2014A Cautionary Note on Natural Hedging of Longevity Risk 2010On the robustness of longevity risk pricing 2015On the effectiveness of natural hedging for insurance companies and pension plans

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Details

Year2006

Typearticle

Published2006-08-25

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations35

Files0 public / 0

ShelfInsurance, Mortality, Demography, Risk Management

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doi10.1016/j.insmatheco.2006.07.002

openalex_workW1998436324

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