Quantile hedging in a defaultable market with life insurance applications
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Publication:4990512
DOI10.1080/03461238.2020.1830846zbMath1466.91258OpenAlexW3093518880MaRDI QIDQ4990512
Anna Glazyrina, Alexander V. Melnikov
Publication date: 28 May 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2020.1830846
option pricingdefaultable bondquantile hedgingdividendscall optionequity-linked life insurance contractdefaultable equity
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