Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
From MaRDI portal
Publication:764421
DOI10.1155/2011/850727zbMath1233.91148WikidataQ58692070 ScholiaQ58692070MaRDI QIDQ764421
Norman Josephy, Lucia Kimball, Victoria Steblovskaya
Publication date: 13 March 2012
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2011/850727
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Quantile hedging of equity-linked life insurance policies
- Efficient hedging of equity-linked life insurance policies
- Evaluation of insurance products with guarantee in incomplete markets
- A time-series approach to non-self-financing hedging in a discrete-time incomplete market
- Resampling methods for dependent data
- Efficient hedging: cost versus shortfall risk
- Quantile hedging
- Quantile hedging for equity-linked contracts
- Martingale Measures and Hedging for Discrete-Time Financial Markets
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Quantile hedging and its application to life insurance
- On Minimizing Risk in Incomplete Markets Option Pricing Models
- An Explicit Formula for Option Pricing in Discrete Incomplete Markets
- Pricing of Unit-linked Life Insurance Policies
- Asymptotics of riskless profit under selling of discrete time call options
- An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
- Option pricing: A simplified approach
- Hedging Equity-Linked Life Insurance Contracts
- Stochastic finance. An introduction in discrete time