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

DOI10.1080/07362990500292692zbMATH Open1125.91054OpenAlexW2038999245MaRDI QIDQ5707909FDOQ5707909

Authors Michael Kirch, Alexander Melnikov

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

jump diffusionquantile hedgingefficient hedgingequity-linked life insurance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Efficient hedging: cost versus shortfall risk
• Indifference pricing of insurance contracts in a product space model
• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• Pricing options on securities with discontinuous returns
• Quantile hedging
• Reserving for maturity guarantees: Two approaches
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts

Cited in

(20)

• 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 and its application to life insurance
• Quantile hedging in models with dividends and application to equity-linked life insurance contracts
• CVaR hedging in defaultable jump-diffusion markets
• Polynomial diffusion models for life insurance liabilities
• 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
• JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
• Hedging life insurance contracts in a Lévy process financial market
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
• Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
• Interest guarantees and model risk in life insurance
• Valuation of finance/insurance contracts: efficient hedging and stochastic interest rates modeling
• Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
• Pricing life insurance with Poisson jump-diffusion under no-arbitrage framework
• Efficient hedging currency options in fractional Brownian motion model with jumps

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