Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
From MaRDI portal
Publication:5746529
DOI10.1007/978-3-0348-0545-2_15zbMath1281.91098MaRDI QIDQ5746529
Publication date: 19 February 2014
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_15
martingale methods; local risk minimization; benchmark approach; actuarial premium determination; hybrid markets
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
Related Items
Extended reduced-form framework for non-life insurance, BENCHMARKED RISK MINIMIZATION, A benchmark approach to risk-minimization under partial information, Polynomial diffusion models for life insurance liabilities, Intensity-based premium evaluation for unemployment insurance products, Local risk-minimization under the benchmark approach
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