Financial/Actuarial Mathematics Seminar

Academic Year 2005-2006: Thursdays 3:10-4:00, 3088 East Hall

Pricing annuities under stochastic mortality via the instantaneous Sharpe ratio

Virginia (Jenny) Young

Department of Mathematics, University of Michigan

February 16, 2006

Abstract
In this talk, I extend my earlier work on pricing pure endowments to pricing continuous-pay life annuities. I use a comparison theorem, together with Minkowski's inequality, to show that limiting price of a life annuity (per annuitant) is the integral over the limiting price of the pure endowment. It was the latter that I demonstrated how to obtain in last semester's differential equations seminar.

Abstract

In this talk, I extend my earlier work on pricing pure endowments to pricing continuous-pay life annuities. I use a comparison theorem, together with Minkowski's inequality, to show that limiting price of a life annuity (per annuitant) is the integral over the limiting price of the pure endowment. It was the latter that I demonstrated how to obtain in last semester's differential equations seminar.

Back to the schedule