Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Journal of Economic Dynamics and Control

Volumn 33, Issue 3, 2009, Pages 676-691

  Bayraktar, Erhan ^a   Milevsky, Moshe A ^b   David Promislow, S ^c   Young, Virginia R ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

^b YORK UNIVERSITY   (Canada)

^c YORK UNIVERSITY   (Canada)

Author keywords

Annuities; Equivalent martingale measures; Market price of risk; Non linear partial differential equations; Pricing; Sharpe ratio; Stochastic mortality

Indexed keywords

EID: 59349117102     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2008.09.004     Document Type: Article

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