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We consider a dynamic Mirrlees economy in a life-cycle context and study the optimal insurance arrangement. Individual productivity evolves as a Markov process and is private information. We use a fir...
We consider a dynamic Mirrlees economy in a life cycle context and study the optimal insurance arrangement. Individual productivity evolves as a Markov process
and is private information. We use a fi...
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Mortality Risk Sharpe Ratio Life Annuities
2010/12/13
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this ri...
New York Life Investment Management LLC (NYLIM) is an asset management enterprise serving a variety of sectors – namely retail, institutional, bundled defined contribution and defined benefit, guarant...