Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model

DOI10.1007/S11464-011-0100-6zbMath1271.62247OpenAlexW2011371203MaRDI QIDQ1946954

Hailiang Yang, Rong-Ming Wang, Lin-Yi Qian

Publication date: 10 April 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-011-0100-6

zbMATH Keywords

regime switchingLévy processunit-linked life insurancerisk-minimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK ⋮ LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL ⋮ Pricing and hedging for correlation options with regime switching and common jump risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Option hedging for semimartingales
• Pricing contingent claims on stocks driven by Lévy processes
• Hedging life insurance contracts in a Lévy process financial market
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• Ergodic Control of Switching Diffusions
• Risk Minimizing Option Pricing in a Regime Switching Market
• Risk-minimizing hedging strategies for insurance payment processes

This page was built for publication: Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model