We provide an overview of how the law of large numbers breaks down when pricing life-contingent claims under stochastic as opposed to deterministic mortality (probability, hazard) rates. In a stylized situation, we derive the limiting per-policy risk and show that it goes to a non-zero constant....

We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual’s consumption is met by an income from a job, pension, life annuity, or Social Security. Then, we consider the wealth that the individual wants to devote towards heirs (separate from any...

We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility...