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Schmeck, Maren Diane
Schmidli, Hanspeter
Year of Publication: 
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Center for Mathematical Economics Working Papers No. 616
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.
mortality option
optimal strategy
maximal utility
exponential utility
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Working Paper

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