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

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<title>Indifference pricing of mortality-linked securities using backward stochastic differential equations</title>
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<namePart>Gómez, Fabio</namePart>
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<namePart>Tang, Qihe</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Len Patrick Dominic Garces, Fabio Gómez and Qihe Tang</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080613877">
<topic>Ecuaciones diferenciales</topic>
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<topic>Riesgo sistémico</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 27 p.</text>
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