Quantile hedging for equity-linked contracts

DOI10.1016/J.INSMATHECO.2010.12.002MaRDI QIDQ2276232zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

quantile hedgingequity-linked contract

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• scientific article; zbMATH DE number 1642347 (Why is no real title available?)
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Efficient hedging of equity-linked life insurance policies
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Hedging Equity-Linked Life Insurance Contracts
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Pricing of Unit-linked Life Insurance Policies
• Quantile hedging
• Quantile hedging and its application to life insurance
• Quantile hedging for defaultable securities in an incomplete market
• Quantile hedging of equity-linked life insurance policies
• Reserving for maturity guarantees: Two approaches
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Stochastic finance. An introduction in discrete time

Cited in

(15)

• Equity quantile upper and lower swaps
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• VaR-based optimal partial hedging
• Optimal hedging strategies in equity-linked products
• On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
• scientific article; zbMATH DE number 1865382 (Why is no real title available?)
• 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
• Bachelier model with stopping time and its insurance application
• Quantile hedging pension payoffs: an analysis of investment incentives
• Quantile hedging for an insider
• Optimal design of equity-linked products with a probabilistic constraint
• On equi-derivatives
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies

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