stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … do so we assume that the mortality intensity is almost surely bounded under the statistical measure. Further, we restrict …

may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or … receive the accumulated capital as a lump sum. Considering stochastic mortality improvements, such an option could be of … substantial value. Whenever mortality improves less than originally expected, the policyholder will choose the lump sum and buy an …