Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
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Publication:2273979
DOI10.1016/j.insmatheco.2019.06.003zbMath1425.91218OpenAlexW2953109269WikidataQ127638930 ScholiaQ127638930MaRDI QIDQ2273979
Publication date: 19 September 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.06.003
pricing and hedgingequity-linked life insuranceforward utility preferencesindifference approachrandom horizon BSDEs
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (6)
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
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