Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
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Publication:2427802
DOI10.1016/j.insmatheco.2011.10.001zbMath1235.91104OpenAlexW1988959228MaRDI QIDQ2427802
Publication date: 18 April 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.001
incomplete marketenlargement of filtrationunit-linked life insurancelocal risk minimizationminimal martingale measureequity-indexed annuitylocally risk-minimizing hedging strategy
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