Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
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Publication:2273979
DOI10.1016/j.insmatheco.2019.06.003zbMath1425.91218OpenAlexW2953109269WikidataQ127638930 ScholiaQ127638930MaRDI QIDQ2273979
Publication date: 19 September 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.06.003
pricing and hedgingequity-linked life insuranceforward utility preferencesindifference approachrandom horizon BSDEs
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Related Items (6)
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
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