Quantile hedging and its application to life insurance
DOI10.1524/STND.2005.23.4.301zbMATH Open1127.62101OpenAlexW256776415MaRDI QIDQ3595147FDOQ3595147
Authors: Victoria S. Skornyakova, Alexander Melnikov 
Publication date: 10 August 2007
Published in: Statistics & Decisions (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/stnd.2005.23.4.301
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Cited In (22)
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Quantile hedging for equity-linked contracts
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- CVaR Hedging in Defaultable Jump-Diffusion Markets
- Hedging life insurance contracts in a Lévy process financial market
- Quantile hedging on equity-linked life insurance contracts with transaction costs
- On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
- Partial hedging and cash requirements in discrete time
- On multi-period statistical risk management methods and equity-linked life insurance
- Title not available (Why is that?)
- CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Quantile hedging for guaranteed minimum death benefits
- Quantile hedging in a defaultable market with life insurance applications
- Quantile hedging pension payoffs: an analysis of investment incentives
- Bachelier model with stopping time and its insurance application
- Hedging life insurance with pure endowments
- Hedging insurance books
- Quantile hedging for guaranteed minimum death benefits with regime switching
- VAR-BASED OPTIMAL PARTIAL HEDGING
- Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies
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