Quantile hedging and its application to life insurance

DOI10.1524/stnd.2005.23.4.301zbMath1127.62101OpenAlexW256776415MaRDI QIDQ3595147

Victoria S. Skornyakova, Alexander V. Melnikov

Publication date: 10 August 2007

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2005.23.4.301

zbMATH Keywords

jump-diffusion modelquantile hedgingMargrabe's formulaequity-linked life insurancepure endowmentflexible guarantee

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)

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