The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
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Publication:882871
DOI10.1016/J.INSMATHECO.2005.04.002zbMATH Open1120.62094OpenAlexW2062076119MaRDI QIDQ882871FDOQ882871
Authors: Robert J. Thomson 
Publication date: 24 May 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.04.002
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Cites Work
- Title not available (Why is that?)
- Mean-variance hedging for general claims
- Variance-Optimal Hedging in Discrete Time
- Mean-variance hedging in continuous time
- On Quadratic Cost Criteria for Option Hedging
- A Multiperiod Equilibrium Asset Pricing Model
- Residual risks and hedging strategies in Markovian markets
Cited In (12)
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Market value margin via mean-variance hedging
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Intergenerational sharing of unhedgeable inflation risk
- The application of CCA in the company liabilities pricing
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Fair dynamic valuation of insurance liabilities via convex hedging
- Unhedgeable inflation risk within pension schemes
- Title not available (Why is that?)
- Dynamic hedging in incomplete markets using risk measures
- Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions
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