EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
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Publication:3520341
DOI10.1142/S0219024908004816zbMath1151.91578OpenAlexW1974040551MaRDI QIDQ3520341
Yuliya Romanyuk, Alexander V. Melnikov
Publication date: 26 August 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908004816
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Related Items (8)
Applications of central limit theorems for equity-linked insurance ⋮ Quantile hedging pension payoffs: an analysis of investment incentives ⋮ On pricing and hedging in financial markets with long-range dependence ⋮ Quantile hedging for equity-linked contracts ⋮ Quantile hedging on equity-linked life insurance contracts with transaction costs ⋮ Pricing of long dated equity-linked life insurance contracts ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ CVaR Hedging in Defaultable Jump-Diffusion Markets
Uses Software
Cites Work
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