Hedging Equity-Linked Life Insurance Contracts
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Recommendations
- Optimal hedging strategies in equity-linked products
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- scientific article; zbMATH DE number 6759427
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Hedging unit-linked life insurance contracts under the mean-variance criterion
Cites work
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Efficient hedging: cost versus shortfall risk
- Equity-linked life insurance: A model with stochastic interest rates
- scientific article; zbMATH DE number 947803 (Why is no real title available?)
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Option pricing: A simplified approach
- Pricing of Unit-linked Life Insurance Policies
- Quantile hedging
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
Cited in
(51)- On transformations of actuarial valuation principles.
- Indifference pricing of insurance contracts in a product space model: Applications
- Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
- Optimal hedging of demographic risk in life insurance
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Quantile hedging in models with dividends and application to equity-linked life insurance contracts
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
- Quantile hedging for equity-linked contracts
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Quantile hedging on equity-linked life insurance contracts with transaction costs
- Economic neutral position: how to best replicate not fully replicable liabilities?
- Pricing of long dated equity-linked life insurance contracts
- Risk-minimization for life insurance liabilities
- Hedging unit-linked life insurance contracts under the mean-variance criterion
- Fair terms and fair pricing for multiple warrant issues
- Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time
- Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Quantile hedging and its application to life insurance
- On multi-period statistical risk management methods and equity-linked life insurance
- scientific article; zbMATH DE number 6759427 (Why is no real title available?)
- Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
- Insurance valuation: A two-step generalised regression approach
- Semi-static hedging for GMWB in variable annuities
- Some extensions of optimal stopping with financial applications
- On accounting standards and fair valuation of life insurance and pension liabilities
- A Discrete-Time Model for Reinvestment Risk in Bond Markets
- scientific article; zbMATH DE number 2208903 (Why is no real title available?)
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- The 3-step hedge-based valuation: fair valuation in the presence of systematic risks
- The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
- Equity-linked pension schemes with guarantees
- Quantile hedging for guaranteed minimum death benefits
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Efficient hedging of life insurance portfolio for loss-averse insurers
- Optimal hedging strategies in equity-linked products
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Bachelier model with stopping time and its insurance application
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Hedging life insurance with pure endowments
- Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics
- Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
- Evaluation of insurance products with guarantee in incomplete markets
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