Mortality options: the point of view of an insurer

We consider the surplus process of a life insurer who is able to buy a securitisation product to hedge mortality in a discrete time framework. Two cohorts are considered: one underlying the securitisation product and one for the portfolio of the insurer. In our main result we show that there exists a unique strategy that maximises the expected utility of the insurer. Our findings are illustrated by a tractable model for mortality catastrophe risk.

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Year of publication:	2019
Authors:	Schmeck, Maren Diane ; Schmidli, Hanspeter
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	mortality option \| optimal strategy \| maximal utility \| exponential utility

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Series:	Center for Mathematical Economics Working Papers ; 616
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1666505420 [GVK] hdl:10419/201641 [Handle] RePEc:bie:wpaper:616 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012042155