کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099207 | 1376992 | 2009 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities. One result of our paper is that the value of the life annuity is identical to the upper good deal bound of Cochrane and Saá-Requejo [2000. Beyond arbitrage: good deal asset price bounds in incomplete markets. Journal of Political Economy 108, 79-119] and of Björk and Slinko [2006. Towards a general theory of good deal bounds. Review of Finance 10, 221-260] applied to our setting. A second result of our paper is that the value per contract solves a linear partial differential equation as the number of contracts approaches infinity. One can represent the limiting value as an expectation with respect to an equivalent martingale measure, and from this representation, one can interpret the instantaneous Sharpe ratio as an annuity market's price of mortality risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 3, March 2009, Pages 676-691
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 3, March 2009, Pages 676-691
نویسندگان
Erhan Bayraktar, Moshe A. Milevsky, S. David Promislow, Virginia R. Young,