Search Results - person:"David Promislow, S."

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of Economic Dynamics and Control 33 (2009) 3, pp. 676-691

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 this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities....

Persistent link: https://www.econbiz.de/10005199960

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of economic dynamics & control 33 (2009) 3, pp. 676-691

Persistent link: https://www.econbiz.de/10008175470

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of economic dynamics & control 33 (2009) 3, pp. 676-692

Persistent link: https://www.econbiz.de/10008890118

Mortality derivatives and the option to annuitise

Milevsky, Moshe A.; David Promislow, S. - In: Insurance: Mathematics and Economics 29 (2001) 3, pp. 299-318

Persistent link: https://www.econbiz.de/10005375149

Mortality derivatives and the option to annuitise

Milevsky, Moshe A.; David Promislow, S. - In: Insurance / Mathematics & economics 29 (2001) 3, pp. 299-318

Persistent link: https://www.econbiz.de/10006898594

Postulates for the internal rate of return of an investment project

David Promislow, S.; Spring, David - In: Journal of Mathematical Economics 26 (1996) 3, pp. 325-361

Persistent link: https://www.econbiz.de/10005388256

An axiomatic characterization of some measures of unfairness

David Promislow, S. - In: Journal of Economic Theory 53 (1991) 2, pp. 345-368

Persistent link: https://www.econbiz.de/10005146321