Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model

DOI10.1080/07362990500292692zbMath1125.91054MaRDI QIDQ5707909

Alexander V. Melnikov, Michael Kirch

Publication date: 25 November 2005

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

Full work available at URL: https://doi.org/10.1080/07362990500292692

zbMATH Keywords

quantile hedging; efficient hedging; jump diffusion; equity-linked life insurance

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts, EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS

Cites Work

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