Article thumbnail

2009: Relative hedging of systematic mortality risk

By Erhan Bayraktar and Michael Ludkovski


We study indifference pricing mechanisms for mortality contingent claims under stochas-tic mortality age structures. Our focus is on capturing the internal cross-hedge between components of an insurer’s portfolio, especially between life annuities and life insurance. We carry out an exhaustive analysis of the dynamic exponential premium principle which is the representative nonlinear pricing rule in our framework. Along the way we also derive and compare a variety of linear pricing rules which value claims under various martingale mea-sures. We illustrate our examples with realistic numerical examples that show the relative importance of model parameters

Topics: stochastic mortality, asymptotic expansions, exponential premium principle, indif- ference pricing JEL Code, G11, G13, G22
Year: 2015
OAI identifier: oai:CiteSeerX.psu:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.