Hedging unit-linked life insurance contracts in a financial market driven by shot-noise processes

DOI10.1002/ASMB.807zbMATH Open1226.91021OpenAlexW4248422384MaRDI QIDQ3103170FDOQ3103170

Authors: Junna Bi, Junyi Guo 

Publication date: 26 November 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.807

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zbMATH Keywords

incomplete marketshot-noise processunit-linked life insurancelocally risk-minimization

Mathematics Subject Classification ID

Cites Work

• Hedging life insurance contracts in a Lévy process financial market
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
• Option hedging for semimartingales
• Pricing contingent claims on stocks driven by Lévy processes
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Shot-noise processes and the minimal martingale measure

Cited In (8)

• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Hedging life insurance contracts in a Lévy process financial market
• Title not available (Why is that?)
• Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Hedging unit-linked life insurance contracts under the mean-variance criterion

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