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

DOI10.1007/S11579-019-00252-YMaRDI QIDQ2175459zbMATH OpenOpenAlexWikidataFDO

Authors Anna Glazyrina, Alexander Melnikov

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)

Recommendations

• Quantile hedging and its application to life insurance
• Hedging Equity-Linked Life Insurance Contracts
• On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
• Quantile hedging in a defaultable market with life insurance applications
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model

Cites work

• scientific article; zbMATH DE number 1642347 (Why is no real title available?)
• scientific article; zbMATH DE number 1808239 (Why is no real title available?)
• A Black-Scholes formula for option pricing with dividends
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• PDE and martingale methods in option pricing.
• Quantile hedging
• Quantile hedging of equity-linked life insurance policies

Cited in

(6)

• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Quadratic hedging for asset derivatives with discrete stochastic dividends.
• On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
• Quantile hedging and its application to life insurance
• Quantile hedging for guaranteed minimum death benefits
• Quantile hedging in a defaultable market with life insurance applications

This page was built for publication: Quantile hedging in models with dividends and application to equity-linked life insurance contracts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2175459)