Local risk-minimization under the benchmark approach
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Publication:2452150
DOI10.1007/s11579-014-0115-3zbMath1308.91157arXiv1210.2337OpenAlexW2949610297MaRDI QIDQ2452150
Francesca Biagini, Alessandra Cretarola, Eckhard Platen
Publication date: 30 May 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.2337
numéraire portfolioFöllmer-Schweizer decompositionlocal risk-minimizationbenchmark approachreal world pricing
Related Items (5)
Polynomial diffusion models for life insurance liabilities ⋮ Extended reduced-form framework for non-life insurance ⋮ BENCHMARKED RISK MINIMIZATION ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
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