Quantile hedging in models with dividends and application to equity-linked life insurance contracts

DOI10.1007/S11579-019-00252-YzbMATH Open1437.91429OpenAlexW2989718300WikidataQ126761135 ScholiaQ126761135MaRDI QIDQ2175459FDOQ2175459

Alexander Melnikov, Anna Glazyrina

Publication date: 29 April 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-019-00252-y

zbMATH Keywords

Black-Scholesquantile hedgingjump-diffusiondividendspure endowmentequity-linked life insurance contracts

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Quantile hedging
• Title not available (Why is that?)
• PDE and martingale methods in option pricing.
• Title not available (Why is that?)
• Quantile hedging of equity-linked life insurance policies
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• A Black-Scholes formula for option pricing with dividends

Cited In (3)

• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Quadratic hedging for asset derivatives with discrete stochastic dividends.
• Quantile hedging for guaranteed minimum death benefits

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