Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
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Publication:2427802
enlargement of filtrationequity-indexed annuityincomplete marketlocal risk minimizationlocally risk-minimizing hedging strategyminimal martingale measureunit-linked life insurance
Recommendations
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
- Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
- Locally Risk-minimizing Hedging of Insurance Payment Streams
- Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
- scientific article; zbMATH DE number 5846828
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
Cites work
- A comparison of two quadratic approaches to hedging in incomplete markets
- A guided tour through quadratic hedging approaches
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Explicit portfolio for unit-linked life insurance contracts with surrender option
- Hedging by sequential regressions revisited
- Hedging Equity-Linked Life Insurance Contracts
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Hedging life insurance contracts in a Lévy process financial market
- scientific article; zbMATH DE number 4032883 (Why is no real title available?)
- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- Local risk minimization and numéraire
- Local risk minimization for defaultable markets
- Local risk-minimization for multidimensional assets and payment streams
- Local risk-minimization under transaction costs
- Locally Risk-minimizing Hedging of Insurance Payment Streams
- On Quadratic Cost Criteria for Option Hedging
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Option hedging for semimartingales
- Option pricing: A simplified approach
- Pricing equity-indexed annuities with path-dependent options.
- Probability with Martingales
- Quadratic hedging methods for defaultable claims
- Risk-minimizing hedging strategies for insurance payment processes
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- The Föllmer-Schweizer decomposition: comparison and description
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Equity-Indexed Annuities
Cited in
(12)- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Valuation and pricing of electricity delivery contracts: the producer's view
- Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time
- Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
- Locally Risk-minimizing Hedging of Insurance Payment Streams
- Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
- Hedging of contingent claims written on non traded assets under Markov-modulated models
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Insurance-finance arbitrage
- Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
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