Quantile hedging for equity-linked contracts
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Publication:2276232
DOI10.1016/J.INSMATHECO.2010.12.002zbMATH Open1218.91165OpenAlexW1983121246MaRDI QIDQ2276232FDOQ2276232
Przemysław Klusik, Zbigniew Palmowski
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.2010.12.002
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Cites Work
- Reserving for maturity guarantees: Two approaches
- Quantile hedging
- Title not available (Why is that?)
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Stochastic finance. An introduction in discrete time
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Pricing of Unit-linked Life Insurance Policies
- Hedging Equity-Linked Life Insurance Contracts
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Quantile hedging and its application to life insurance
- Quantile hedging of equity-linked life insurance policies
- Efficient hedging of equity-linked life insurance policies
- Quantile hedging for defaultable securities in an incomplete market
Cited In (13)
- Equity quantile upper and lower swaps
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
- Title not available (Why is that?)
- Equity-linked pension schemes with guarantees
- Lévy systems and the time value of ruin for Markov additive processes
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Quantile hedging pension payoffs: an analysis of investment incentives
- Bachelier model with stopping time and its insurance application
- Quantile hedging for an insider
- VAR-BASED OPTIMAL PARTIAL HEDGING
- On equi-derivatives
- Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies
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