Huang, Yu-Lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; … - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 30-39
This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain–loss ratio of...