Quantile hedging for guaranteed minimum death benefits with regime switching

DOI10.1080/07362994.2012.704844MaRDI QIDQ4648511zbMATH OpenOpenAlexFDO

Authors Yu-Min Wang, G. Yin

Publication date 9 November 2012

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

Full work available at URL https://doi.org/10.1080/07362994.2012.704844

zbMATH Keywords

guaranteed minimum death benefitquantile hedgingstochastic controlvariable annuities

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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• Efficient hedging: cost versus shortfall risk
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• Stock trading: an optimal selling rule

Cited in

(5)

• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
• Option pricing under regime-switching models: novel approaches removing path-dependence
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Quantile hedging for guaranteed minimum death benefits

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