Indifference pricing of mortality-linked securities using backward stochastic differential equations

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      <subfield code="a">The article develops a theoretical framework for valuing mortality-linked securities using the utility indifference pricing approach. The model integrates financial and mortality risks through multidimensional Itô processes with diffusion and jumps. The methodology relies on backward stochastic differential equations (BSDEs) to characterize prices and optimal strategies in incomplete markets. Numerical studies are presented for various longevity- and mortality-linked instruments, analyzing price sensitivity to key parameters. The results highlight the relevance of the correlation between financial markets and mortality rates in actuarial valuation</subfield>
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      <subfield code="g">20/04/2026 Volumen 56 Número 2 - abril 2026 , 27 p.</subfield>
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