No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process

DOI10.2143/AST.42.1.2160741zbMath1277.91060OpenAlexW2478584385MaRDI QIDQ2866007

Łukasz Delong

Publication date: 12 December 2013

Full work available at URL: https://econpapers.repec.org/RePEc:cup:astinb:v:42:y:2012:i:01:p:203-232_00

zbMATH Keywords

equivalent martingale measurebackward stochastic differential equationlongevity riskvariable annuitiesinstantaneous Sharpe ratioHansen-Jagannathan boundirrational lapse behaviorprobability priors

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Dynamics of solvency risk in life insurance liabilities ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Robust Portfolio Choice and Indifference Valuation

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