Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time
From MaRDI portal
Publication:3119649
DOI10.3233/RDA-170121zbMath1409.91134MaRDI QIDQ3119649
Anna Glazyrina, Alexander V. Melnikov
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-170121
risk-minimization; quadratic hedging; numeraire; equity-linked life insurance contracts; \(P\)-discounting portfolio