Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
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Publication:2086919
DOI10.3934/jimo.2021072OpenAlexW3151887508MaRDI QIDQ2086919
Zhixin Yang, Yang Shen, Wei Wang, Lin-Yi Qian
Publication date: 26 October 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021072
unit-linked life insuranceHawkes processhedging strategyminimal martingale measurelocal risk-minimization
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