Optimal Cross Hedging of Insurance Derivatives

DOI10.1080/07362990802128230zbMath1158.60020arXiv0705.3760OpenAlexW1913516418MaRDI QIDQ3518300

Alexandre Popier, Stefan Ankirchner, Peter Imkeller

Publication date: 7 August 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.3760

zbMATH Keywords

admissibilitydynamic hedgingentropic risk measureindifference priceoptimal investment strategyweather derivativecross hedgingclimate riskweather riskinsurance derivativenegatively correlated exposure

Mathematics Subject Classification ID

Related Items (5)

Hedging with Residual Risk: A BSDE Approach ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS ⋮ Utility-Based Valuation and Hedging of Basis Risk With Partial Information ⋮ Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

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