Mortality/Longevity Risk-Minimization with or without Securitization

Mortality/Longevity Risk-Minimization with or without Securitization

This paper addresses the risk-minimization problem, with and without mortality securitization, <i>à la</i> Föllmer–Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework includes situations in which the correlation...

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Bibliographic Details
Main Authors: Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Mathematics
Subjects:
time of death/random horizon/default
progressively enlarged filtration
optional martingale representation
risk decomposition
unit-linked mortality contracts
risk-minimization
Online Access:https://www.mdpi.com/2227-7390/9/14/1629

Internet

https://www.mdpi.com/2227-7390/9/14/1629

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