Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences (Q2273979): Difference between revisions

Latest revision as of 10:03, 29 July 2024

scientific article

Language	Label	Description	Also known as
English	Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences	scientific article

Statements

instance of

scholarly article

0 references

title

Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences (English)

0 references

author

Wing Fung Chong

0 references

published in

Insurance Mathematics \& Economics

0 references

publication date

19 September 2019

0 references

zbMATH Keywords

equity-linked life insurance

0 references

pricing and hedging

0 references

indifference approach

0 references

forward utility preferences

0 references

random horizon BSDEs

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.insmatheco.2019.06.003

0 references

cites work

Enlargement of Filtration with Finance in View

0 references

Pricing equity-linked life insurance with endogenous minimum guarantees

0 references

A forward scheme for backward SDEs

0 references

Dynamic preferences for popular investment strategies in pension funds

0 references

The Pricing of Options and Corporate Liabilities

0 references

Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.

0 references

Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs

0 references

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

0 references

Explicit Description of HARA Forward Utilities and Their Optimal Portfolios

0 references

Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences

0 references

Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

0 references

European Option Pricing with Transaction Costs

0 references

Exponential Hedging and Entropic Penalties

0 references

Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process

0 references

Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps

0 references

Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient

0 references

An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE

0 references

Backward Stochastic Differential Equations in Finance

0 references

Q3974816

0 references

Q3815091

0 references

Utility maximization in incomplete markets

0 references

Pricing equity-linked pure endowments with risky assets that follow Lévy processes

0 references

UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH

0 references

Dynamically consistent investment under model uncertainty: the robust forward criteria

0 references

On the pricing of contingent claims under constraints

0 references

Mean-variance hedging on uncertain time horizon in a market with a jump

0 references

Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process

0 references

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE

0 references

Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates

0 references

Principle of equivalent utility and universal variable life insurance pricing

0 references

A Markov Process Modeling and Analysis of Indifference Pricing of Insurance Contracts for Home Reversion Plan for a Pair of Insureds

0 references

Optimum consumption and portfolio rules in a continuous-time model

0 references

Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts

0 references

Hedging Equity-Linked Life Insurance Contracts

0 references

Risk-minimizing hedging strategies for insurance payment processes

0 references

Pricing equity-linked pure endowments via the principle of equivalent utility.

0 references

Q5506195

0 references

Optimal Asset Allocation under Forward Exponential Performance Criteria

0 references

Portfolio choice under dynamic investment performance criteria

0 references

Portfolio Choice under Space-Time Monotone Performance Criteria

0 references

INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA

0 references

A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility

0 references

Risk Aversion in the Small and in the Large

0 references

Option hedging for semimartingales

0 references

RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION

0 references

On the minimal martingale measure and the möllmer-schweizer decomposition

0 references

Approximation pricing and the variance-optimal martingale measure

0 references

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

0 references

Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility

0 references

PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

0 references

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

0 references

Maturity-Independent Risk Measures

0 references

A dual characterization of self-generation and exponential forward performances

0 references

Identifiers

zbMATH Open document ID

1425.91218

0 references

DOI

10.1016/j.insmatheco.2019.06.003

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2273979

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2019.06.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2953109269
@@ Property / OpenAlex ID: W2953109269 / rank @@
+Normal rank
@@ Property / cites work @@
+Enlargement of Filtration with Finance in View
@@ Property / cites work: Enlargement of Filtration with Finance in View / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing equity-linked life insurance with endogenous minimum guarantees
+Normal rank
@@ Property / cites work @@
+A forward scheme for backward SDEs
@@ Property / cites work: A forward scheme for backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic preferences for popular investment strategies in pension funds
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
+Normal rank
@@ Property / cites work @@
+Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
+Normal rank
@@ Property / cites work @@
+An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
+Normal rank
@@ Property / cites work @@
+Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
+Normal rank
@@ Property / cites work @@
+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
+Normal rank
@@ Property / cites work @@
+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
+Normal rank
@@ Property / cites work @@
+An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing equity-linked pure endowments with risky assets that follow Lévy processes
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH
+Normal rank
@@ Property / cites work @@
+Dynamically consistent investment under model uncertainty: the robust forward criteria
+Normal rank
@@ Property / cites work @@
+On the pricing of contingent claims under constraints
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging on uncertain time horizon in a market with a jump
+Normal rank
@@ Property / cites work @@
+Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
+Normal rank
@@ Property / cites work @@
+Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
+Normal rank
@@ Property / cites work @@
+Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
+Normal rank
@@ Property / cites work @@
+Principle of equivalent utility and universal variable life insurance pricing
+Normal rank
@@ Property / cites work @@
+A Markov Process Modeling and Analysis of Indifference Pricing of Insurance Contracts for Home Reversion Plan for a Pair of Insureds
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
+Normal rank
@@ Property / cites work @@
+Hedging Equity-Linked Life Insurance Contracts
@@ Property / cites work: Hedging Equity-Linked Life Insurance Contracts / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-minimizing hedging strategies for insurance payment processes
+Normal rank
@@ Property / cites work @@
+Pricing equity-linked pure endowments via the principle of equivalent utility.
+Normal rank
@@ Property / cites work @@
+Q5506195
@@ Property / cites work: Q5506195 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Asset Allocation under Forward Exponential Performance Criteria
+Normal rank
@@ Property / cites work @@
+Portfolio choice under dynamic investment performance criteria
+Normal rank
@@ Property / cites work @@
+Portfolio Choice under Space-Time Monotone Performance Criteria
+Normal rank
@@ Property / cites work @@
+INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
+Normal rank
@@ Property / cites work @@
+A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+Option hedging for semimartingales
@@ Property / cites work: Option hedging for semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
+Normal rank
@@ Property / cites work @@
+On the minimal martingale measure and the möllmer-schweizer decomposition
+Normal rank
@@ Property / cites work @@
+Approximation pricing and the variance-optimal martingale measure
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
+Normal rank
@@ Property / cites work @@
+Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
+Normal rank
@@ Property / cites work @@
+PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
+Normal rank
@@ Property / cites work @@
+Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
+Normal rank
@@ Property / cites work @@
+Maturity-Independent Risk Measures
@@ Property / cites work: Maturity-Independent Risk Measures / rank @@
+Normal rank
@@ Property / cites work @@
+A dual characterization of self-generation and exponential forward performances
+Normal rank
@@ Property / Wikidata QID @@
+Q127638930
@@ Property / Wikidata QID: Q127638930 / rank @@
+Normal rank