TY  - GEN
AB  - 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.
DA  - 2019
KW  - mortality option
KW  - optimal strategy
KW  - maximal utility
KW  - ex- ponential utility
LA  - eng
PY  - 2019
SN  - 0931-6558
TI  - Mortality Options: the Point of View of an Insurer
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29357981
Y2  - 2024-11-22T07:33:29
ER  -