Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model (Q5707909): Difference between revisions

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+Alexander V. Melnikov
@@ Property / author: Alexander V. Melnikov / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/07362990500292692
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+W2038999245
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+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
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@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
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+Reserving for maturity guarantees: Two approaches
@@ Property / cites work: Reserving for maturity guarantees: Two approaches / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
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@@ Property / cites work @@
+Indifference pricing of insurance contracts in a product space model
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@@ Property / cites work @@
+Contingent claims valuation when the security price is a combination of an Itō process and a random point process
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+Pricing options on securities with discontinuous returns
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@@ Property / cites work @@
+DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS<sup>1</sup>
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@@ Property / cites work @@
+Option Pricing For Jump Diffusions: Approximations and Their Interpretation
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@@ links / mardi / name / links / mardi / name @@
+Publication:5707909