摘要 : In this paper, we study the pricing of life insurance portfolios in the presence of dependent lives. We assume that an insurer with an initial exposure to n mortality-contingent contracts wanted to acquire a second portfolio const... 展开
作者 | Blanchet-Scalliet~ Christophette Dorobantu~ Diana Salhi~ Yahia |
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作者单位 | |
期刊名称 | 《Methodology and computing in applied probability》 |
总页数 | 26 |
语种/中图分类号 | 英语 / O29 |
关键词 | Indifference pricing Representative contract Utility maximization Life insurance |
馆藏号 | N2008EPST0011639 |