Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization (Q2260945)
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scientific article
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| English | Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization |
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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization (English)
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13 March 2015
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local risk-minimization
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partial information
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unit-linked life insurance contracts
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minimal martingale measure
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Föllmer-Schweizer decomposition
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Markovian models
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filtering
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0.9049324989318848
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0.8269715905189514
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0.825211226940155
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0.8124367594718933
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