Bachelier model with stopping time and its insurance application

DOI10.1016/J.INSMATHECO.2020.04.012zbMATH Open1446.91060OpenAlexW3024737047MaRDI QIDQ784430FDOQ784430

Authors: Anna Glazyrina, Alexander Melnikov 

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.012

Recommendations

• A stochastic interest model with an application to insurance
• Optimal insurance in a continuous-time model
• A time‐continuous markov chain interest model with applications to insurance
• Optimal stopping of a risk process: model with interest rates
• A backwards stochastic differential equation model in life insurance
• On a fundamental identity for stopping times and its application to risk theory
• A new stopping time model: a solution to a free-boundary problem
• Asymptotic behavior of the processes describing some insurance models

zbMATH Keywords

stopping timedefaultBlack-Scholesquantile hedgingcall optionBachelier modelabsorbing barrierequity-linked life insurance contract

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Testing Statistical Hypotheses
• Quantile hedging
• Title not available (Why is that?)
• Approximations of boundary crossing probabilities for a Brownian motion
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bachelier and his times: a conversation with Bernard Bru
• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
• Pricing of Unit-linked Life Insurance Policies
• Title not available (Why is that?)
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Quantile hedging for equity-linked contracts
• Hedging Equity-Linked Life Insurance Contracts
• Quantile hedging and its application to life insurance
• The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions

Cited In (1)

• On modifications of the Bachelier model

This page was built for publication: Bachelier model with stopping time and its insurance application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q784430)