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....
