Tax- and expense-modified risk-minimization for insurance payment processes

DOI10.1080/03461238.2020.1790413zbMath1454.91168arXiv1907.04230OpenAlexW3045230448MaRDI QIDQ5140642

Christian Furrer, Kristian Buchardt, Thomas Møller

Publication date: 16 December 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.04230

zbMATH Keywords

incomplete marketGaltchouk-Kunita-Watanabe decompositionmarket consistent valuationquadratic hedgingintrinsic value process

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial mathematics (91G05)

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Phase-type representations of stochastic interest rates with applications to life insurance

Cites Work

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