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

DOI10.1002/ASMB.807MaRDI QIDQ3103170zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Recommendations

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• scientific article; zbMATH DE number 2185942
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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Hedging life insurance contracts in a Lévy process financial market
• 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
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• 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
• scientific article; zbMATH DE number 2185942 (Why is no real title available?)
• 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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