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

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

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instance of

scholarly article

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title

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

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author

Wing Fung Chong

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published in

Insurance Mathematics \& Economics

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publication date

19 September 2019

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zbMATH Keywords

equity-linked life insurance

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pricing and hedging

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indifference approach

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forward utility preferences

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random horizon BSDEs

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MaRDI profile type

MaRDI publication profile

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full work available at URL

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

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cites work

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Explicit Description of HARA Forward Utilities and Their Optimal Portfolios

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European Option Pricing with Transaction Costs

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Exponential Hedging and Entropic Penalties

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

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Q3974816

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Q3815091

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Utility maximization in incomplete markets

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

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UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH

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Dynamically consistent investment under model uncertainty: the robust forward criteria

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On the pricing of contingent claims under constraints

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

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

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

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

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Principle of equivalent utility and universal variable life insurance pricing

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

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Optimum consumption and portfolio rules in a continuous-time model

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

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Hedging Equity-Linked Life Insurance Contracts

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Q5506195

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Optimal Asset Allocation under Forward Exponential Performance Criteria

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Portfolio choice under dynamic investment performance criteria

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Portfolio Choice under Space-Time Monotone Performance Criteria

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

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

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Risk Aversion in the Small and in the Large

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Option hedging for semimartingales

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RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION

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On the minimal martingale measure and the möllmer-schweizer decomposition

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

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

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PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

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Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

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Identifiers

zbMATH Open document ID

1425.91218

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DOI

10.1016/j.insmatheco.2019.06.003

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2273979

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