Speaker:

Katia Colaneri (University of Leeds)

Titolo: Indifference pricing of life insurance contracts in a market with longevity bounds via BSDEs under partial informations.

Giovedì' 04 Ottobre 2018, ore 12:00

Dipartimento di Matematica e Applicazioni
Università di Milano-Bicocca
Via Cozzi 55, Milano - edificio U5 - Aula 3014

Abstract:

We investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. We consider a financial market, where investments in a riskless asset, a risky asset and a longevity bond are allowed. Our modelling framework that takes into account mutual dependence between the financial and the insurance markets via an observable stochastic process, which affects the risky asset and the mortality index dynamics. Computing indifference price amounts to solve a stochastic control problem. Under partial information this methodology requires filtering techniques that can reduce the original control problem to an equivalent problem in complete information. We characterize the value function as well as the indifference price in terms of the solution to a quadratic-exponential backward stochastic differential equation.

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Cordialmente,