Mortality Options: the Point of View of an Insurer

Maren Diane Schmeck and Hanspeter Schmidli
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Maren Diane Schmeck: Center for Mathematical Economics, Bielefeld University
Hanspeter Schmidli: Center for Mathematical Economics, Bielefeld University

No 616, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: 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.

Keywords: mortality option; optimal strategy; maximal utility; ex- ponential utility (search for similar items in EconPapers)
Date: 2019-05-28
New Economics Papers: this item is included in nep-hea, nep-rmg and nep-upt
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Citations: View citations in EconPapers (2)

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https://pub.uni-bielefeld.de/download/2935798/2935799 First Version, 2019 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:616

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