  In this paper we study the pricing and hedging problem of a portfolio of life
insurance products under the benchmark approach, where the reference market is
modelled as driven by a state variable following a polynomial diffusion on a
compact state space. Such a model guarantees not only the positivity of the OIS
short rate and the mortality intensity, but also the possibility of
approximating both pricing formula and hedging strategy of a large class of
life insurance products by explicit formulas.

Mathematical Finance