Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities Version: 3 March 2008 Erhan Bayraktar Department of Mathematics University of Michigan Ann Arbor, Michigan, 48109 erhan@umich.edu Moshe A. Milevsky Schulich School of Business York University Toronto, Ontario, M3J 1P3 milevsky@yorku.ca S. David Promislow Department of Mathematics and Statistics York University Toronto, Ontario, M3J 1P3 promis@yorku.ca Virginia R. Young Department of Mathematics University of Michigan Ann Arbor, Michigan, 48109 vryoung@umich.edu 1