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

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<dc:creator>Dominic Garces, Len Patrick</dc:creator>
<dc:creator>Gómez, Fabio</dc:creator>
<dc:creator>Tang, Qihe</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-04-20</dc:date>
<dc:description xml:lang="es">Sumario: 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/190613.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Ecuaciones diferenciales</dc:subject>
<dc:subject xml:lang="es">Riesgo sistémico</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Indifference pricing of mortality-linked securities using backward stochastic differential equations</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 20/04/2026 Volumen 56 Número 2 - abril 2026 , 27 p.</dc:relation>
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