Hedging life insurance contracts in a Lévy process financial market

DOI10.1016/j.insmatheco.2005.12.004zbMath1168.91419OpenAlexW1990911167MaRDI QIDQ2499839

Martin Riesner

Publication date: 14 August 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.12.004

zbMATH Keywords

incomplete marketLévy processunit-linked life insurancemartingale representationrisk-minimizationKunita-Watanabe

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites Work

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• Pricing of Unit-linked Life Insurance Policies
• Financial Modelling with Jump Processes
• Risk-minimizing hedging strategies for insurance payment processes
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