EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
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Publication:3520341
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Cites work
- Affine processes for dynamic mortality and actuarial valuations
- An example of indifference prices under exponential preferences
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Hedging Equity-Linked Life Insurance Contracts
- scientific article; zbMATH DE number 3655180 (Why is no real title available?)
- scientific article; zbMATH DE number 1869208 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Minimization of shortfall risk in a jump-diffusion model
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Pricing equity-linked life insurance with endogenous minimum guarantees
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- Quantile hedging
- Reserving for maturity guarantees: Two approaches
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The pricing of options and corporate liabilities
Cited in
(19)- Quantile hedging pension payoffs: an analysis of investment incentives
- On pricing and hedging in financial markets with long-range dependence
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- Quantile hedging for equity-linked contracts
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Hedging life insurance contracts in a Lévy process financial market
- Quantile hedging on equity-linked life insurance contracts with transaction costs
- Pricing of long dated equity-linked life insurance contracts
- Optimal design of equity-linked products with a probabilistic constraint
- Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
- Valuation of finance/insurance contracts: efficient hedging and stochastic interest rates modeling
- Applications of central limit theorems for equity-linked insurance
- Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
- scientific article; zbMATH DE number 6759427 (Why is no real title available?)
- CVaR hedging in defaultable jump-diffusion markets
- On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
- scientific article; zbMATH DE number 2208903 (Why is no real title available?)
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
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