Quantile hedging and its application to life insurance

DOI10.1524/STND.2005.23.4.301MaRDI QIDQ3595147zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

quantile hedgingjump-diffusion modelMargrabe's formulaequity-linked life insurancepure endowmentflexible guarantee

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Quantile hedging in models with dividends and application to equity-linked life insurance contracts
• Quantile hedging in a defaultable market with life insurance applications
• Hedging Equity-Linked Life Insurance Contracts

Cited in

(24)

• Quantile hedging on equity-linked life insurance contracts with transaction costs
• CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
• Quantile hedging in models with dividends and application to equity-linked life insurance contracts
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• VaR-based optimal partial hedging
• CVaR hedging in defaultable jump-diffusion markets
• Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
• Quantile hedging for equity-linked contracts
• Quantile hedging in a defaultable market with life insurance applications
• Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time
• Quantile hedging pension payoffs: an analysis of investment incentives
• Bachelier model with stopping time and its insurance application
• Quantile hedging for guaranteed minimum death benefits
• Hedging insurance books
• Hedging life insurance contracts in a Lévy process financial market
• On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
• scientific article; zbMATH DE number 5630718 (Why is no real title available?)
• On multi-period statistical risk management methods and equity-linked life insurance
• Partial hedging and cash requirements in discrete time
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies
• Quantile hedging for guaranteed minimum death benefits with regime switching
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Hedging life insurance with pure endowments

This page was built for publication: Quantile hedging and its application to life insurance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3595147)