Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model

DOI10.1080/07362990500292692zbMath1125.91054OpenAlexW2038999245MaRDI QIDQ5707909

Michael Kirch, Alexander V. Melnikov

Publication date: 25 November 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500292692

zbMATH Keywords

quantile hedgingefficient hedgingjump diffusionequity-linked life insurance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts, Efficient hedging currency options in fractional Brownian motion model with jumps, Quantile hedging in models with dividends and application to equity-linked life insurance contracts, CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs, EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS, Quantile hedging on equity-linked life insurance contracts with transaction costs, CVaR Hedging in Defaultable Jump-Diffusion Markets

Cites Work

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• Indifference pricing of insurance contracts in a product space model
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• Quantile hedging
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• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹