The pricing of liabilities in an incomplete market using dynamic mean-variance hedging

DOI10.1016/J.INSMATHECO.2005.04.002MaRDI QIDQ882871zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Equilibrium market modelsIncomplete marketsMarket value of liabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Multiperiod Equilibrium Asset Pricing Model
• scientific article; zbMATH DE number 1906319 (Why is no real title available?)
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• On Quadratic Cost Criteria for Option Hedging
• Residual risks and hedging strategies in Markovian markets
• Variance-Optimal Hedging in Discrete Time

Cited in

(12)

• Fair dynamic valuation of insurance liabilities via convex hedging
• Unhedgeable inflation risk within pension schemes
• The application of CCA in the company liabilities pricing
• scientific article; zbMATH DE number 1539033 (Why is no real title available?)
• Dynamic hedging in incomplete markets using risk measures
• Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
• Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions
• Market value margin via mean-variance hedging
• Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences
• Intergenerational sharing of unhedgeable inflation risk
• Coping with longevity via hedging: fair dynamic valuation of variable annuities

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