Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
DOI10.1142/S0219024915500478zbMATH Open1337.91105OpenAlexW2264945873MaRDI QIDQ3460682FDOQ3460682
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
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- scientific article; zbMATH DE number 6759427
efficient hedgingdefault timesuperhedgingequity-linked life insurance contractGateaux derivativeFréchet derivativenonsmooth convex duality
Cites Work
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Title not available (Why is that?)
- Convex functional analysis
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Lectures on the Mathematics of Finance
Cited In (7)
- Hedging life insurance contracts in a Lévy process financial market
- Title not available (Why is that?)
- 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
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