Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
From MaRDI portal
Publication:2343569
DOI10.1007/s10255-012-0176-0zbMath1326.60111OpenAlexW2004119492MaRDI QIDQ2343569
Wei Wang, Rong-Ming Wang, Lin-Yi Qian
Publication date: 6 May 2015
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-012-0176-0
regime switching modelequity-indexed annuitycontinuous-time finite-state Markov chainrisk-minimizing hedging
Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Option pricing and Esscher transform under regime switching
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
- Optimal surrender strategies for equity-indexed annuity investors
- Option hedging for semimartingales
- Pricing contingent claims on stocks driven by Lévy processes
- Pricing equity-indexed annuities with path-dependent options.
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Hedging life insurance contracts in a Lévy process financial market
- The design of equity-indexed annuities
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
- Ergodic Control of Switching Diffusions
- Risk Minimizing Option Pricing in a Regime Switching Market
- Pricing Lookback Options and Dynamic Guarantees
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Equity-Indexed Annuities
- Risk-minimizing hedging strategies for insurance payment processes
