Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
نویسندگان
چکیده
منابع مشابه
Indifference Pricing of Pure Endowments and Life Annuities
We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility and sells k contingent claims to k independent but homogeneous individuals. Throughout we focus on t...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2008
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2006.11.009