Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201641
Authors: 
Schmeck, Maren Diane
Schmidli, Hanspeter
Year of Publication: 
2019
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 616
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.
Subjects: 
mortality option
optimal strategy
maximal utility
exponential utility
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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