Indifference pricing of insurance contracts in a product space model

DOI10.1007/S007800200086zbMath1038.62097OpenAlexW2164933089MaRDI QIDQ1424712

Thomas Møller

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200086

zbMATH Keywords

variance principlestandard deviation principlefinancial riskproduct spaceindifference pricingvariance optimal martingale measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Indifference pricing for CRRA utilities ⋮ A law of large numbers approach to valuation in life insurance ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Indifference pricing of insurance contracts in a product space model: Applications ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS ⋮ Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model ⋮ Number of paths versus number of basis functions in American option pricing ⋮ Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes ⋮ Pricing Weather Derivatives Using the Indifference Pricing Approach

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