Quantile hedging for equity-linked contracts

DOI10.1016/j.insmatheco.2010.12.002zbMath1218.91165MaRDI QIDQ2276232

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 hedging; equity-linked contract

Mathematics Subject Classification ID

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

Related Items

VAR-BASED OPTIMAL PARTIAL HEDGING, Equity-linked pension schemes with guarantees, 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, Lévy systems and the time value of ruin for Markov additive processes, Approximation of CVaR minimization for hedging under exponential-Lévy models

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