A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow
pension schemes, and annuity providers to swap out longevity risk, but introduce …

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market by
assuming that the company issuing a mortality-contingent claim requires compensation for …

By applying the principle of equivalent forward preferences, this paper revisits the pricing
and hedging problems for equity-linked life insurance contracts. The equity-linked …

It is well known that purely structural models of default cannot explain short‐term credit
spreads, while purely intensity‐based models lead to completely unpredictable default …

Broken-heart syndrome is the most common form of short-term dependence, inducing a
temporary increase in an individual's force of mortality upon the occurrence of extreme …

In this paper, we investigate the pricing problem for a portfolio of life insurance contracts
where the life contingent payments are equity-linked depending on the performance of a …

In this thesis, insurance solutions for low-income populations and their capacity for poverty
reduction are considered. Classical risk theory techniques are adopted to the study of the …

For life insurance companies and pension funds, it is always the case in practice that not all
of the risks in their books can be hedged. Hence, the standard Black-Scholes methodology …

In this paper, we investigate the pricing problem of a pure endowment contract when the
insurance company has a limited information on the mortality intensity of the policyholder …