Hedging Equity-Linked Life Insurance Contracts
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Publication:5718206
DOI10.1080/10920277.2001.10595986zbMath1083.91546OpenAlexW2057814491MaRDI QIDQ5718206
Publication date: 13 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2001.10595986
Related Items (30)
Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks ⋮ Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ On transformations of actuarial valuation principles. ⋮ Indifference pricing of insurance contracts in a product space model: Applications ⋮ Equity-linked pension schemes with guarantees ⋮ Quantile hedging for guaranteed minimum death benefits ⋮ Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies ⋮ Evaluation of insurance products with guarantee in incomplete markets ⋮ Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Semi-Static Hedging for GMWB in Variable Annuities ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Quantile hedging for equity-linked contracts ⋮ Optimal hedging strategies in equity-linked products ⋮ Quantile hedging on equity-linked life insurance contracts with transaction costs ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Fair Terms and Fair Pricing for Multiple Warrant Issues ⋮ Some extensions of optimal stopping with financial applications ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ Bachelier model with stopping time and its insurance application ⋮ A Discrete-Time Model for Reinvestment Risk in Bond Markets ⋮ Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
Cites Work
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- Efficient hedging: cost versus shortfall risk
- Equity-linked life insurance: A model with stochastic interest rates
- Quantile hedging
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Pricing of Unit-linked Life Insurance Policies
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Option pricing: A simplified approach
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