Explicit portfolio for unit-linked life insurance contracts with surrender option
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Publication:732095
DOI10.1016/j.cam.2008.04.031zbMath1179.91111MaRDI QIDQ732095
Michèle Vanmaele, Nele Vandaele
Publication date: 9 October 2009
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2008.04.031
60G51: Processes with independent increments; Lévy processes
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
- Hedging life insurance contracts in a Lévy process financial market
- Credit risk: Modelling, valuation and hedging
- Risk-minimizing hedging strategies for insurance payment processes
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