Quantile hedging for guaranteed minimum death benefits
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Cites work
- Approximation pricing and the variance-optimal martingale measure
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- Dynamic programming and mean-variance hedging
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Efficient hedging: cost versus shortfall risk
- Hedging Equity-Linked Life Insurance Contracts
- scientific article; zbMATH DE number 1001734 (Why is no real title available?)
- Mean-variance hedging in continuous time
- On the Mean-Variance Hedging Problem
- Option pricing: A simplified approach
- Pricing via utility maximization and entropy.
- Quantile hedging
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- The pricing of options and corporate liabilities
Cited in
(13)- Quantile hedging pension payoffs: an analysis of investment incentives
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Application of data clustering and machine learning in variable annuity valuation
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Quantile hedging for guaranteed minimum death benefits with regime switching
- Quantile hedging in a defaultable market with life insurance applications
- VaR-based optimal partial hedging
- Variable annuity pricing, valuation, and risk management: a survey
- Randomization and the valuation of guaranteed minimum death benefits
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
- Super-replication of life-contingent options under the Black-Scholes framework
- Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
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