Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts

DOI10.1142/S0219024915500478MaRDI QIDQ3460682zbMATH OpenOpenAlexFDO

Authors Amir Nosrati, Alexander Melnikov

Publication date 8 January 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024915500478

zbMATH Keywords

efficient hedgingdefault timesuperhedgingequity-linked life insurance contractGateaux derivativeFréchet derivativenonsmooth convex duality

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Quantile hedging in a defaultable market with life insurance applications
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• scientific article; zbMATH DE number 6759427

Cites work

• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• Convex functional analysis
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Lectures on the Mathematics of Finance

Cited in

(7)

• Hedging life insurance contracts in a Lévy process financial market
• scientific article; zbMATH DE number 6759427 (Why is no real title available?)
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• CVaR hedging in defaultable jump-diffusion markets
• Quantile hedging in a defaultable market with life insurance applications
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies

This page was built for publication: Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3460682)