Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts (Q3460682)
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scientific article; zbMATH DE number 6527659
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| English | Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts |
scientific article; zbMATH DE number 6527659 |
Statements
EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS (English)
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8 January 2016
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efficient hedging
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nonsmooth convex duality
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Fréchet derivative
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Gateaux derivative
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default time
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superhedging
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equity-linked life insurance contract
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0.8576193451881409
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0.8187718987464905
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0.8162557482719421
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0.8060824275016785
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