Quantile hedging on equity-linked life insurance contracts with transaction costs

DOI10.1016/J.INSMATHECO.2014.06.005MaRDI QIDQ2513623zbMATH OpenOpenAlexFDO

Authors Shuo Tong, Alexander Melnikov

Publication date 28 January 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2014.06.005

zbMATH Keywords

quantile hedgingtransaction costshedging costsequity-linked life insuranceadjusted hedging volatility

Mathematics Subject Classification ID

Recommendations

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Cites work

• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Hedging Equity-Linked Life Insurance Contracts
• Hedging and Reserving for Single-Premium Segregated Fund Contracts
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• On Leland's strategy of option pricing with transactions costs
• On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Quantile hedging
• Quantile hedging and its application to life insurance
• Quantile hedging of equity-linked life insurance policies
• Reserving for maturity guarantees: Two approaches
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts

Cited in

(6)

• CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
• Quantile hedging in a defaultable market with life insurance applications
• Modeling partial Greeks of variable annuities with dependence
• Quantile hedging pension payoffs: an analysis of investment incentives
• Quantile hedging for guaranteed minimum death benefits
• Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach

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