Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee

DOI10.1016/j.insmatheco.2010.10.011zbMath1233.91155OpenAlexW2253767106MaRDI QIDQ2276216

Pierre-E. Thérond, Frédéric Planchet, Oberlain Nteukam Teuguia

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.011

zbMATH Keywords

hedging strategiesunit-linkedrisk indicatorsstress-testingdeath guaranteetransaction and error of re-hedging costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Asymptotic analysis of hedging errors in models with jumps
• Empirical properties of asset returns: stylized facts and statistical issues
• Option pricing when underlying stock returns are discontinuous