Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting

DOI10.1016/j.insmatheco.2021.03.015zbMath1479.91306arXiv1908.05534OpenAlexW3156189363MaRDI QIDQ2234757

Mitja Stadje, Frank Bosserhoff

Publication date: 19 October 2021

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

Full work available at URL: https://arxiv.org/abs/1908.05534

zbMATH Keywords

life insurancerisk managementjump-diffusionmean-variancetime-consistency

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Portfolio theory (91G10) Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk-minimization for life insurance liabilities with basis risk
• Continuous time mean variance asset allocation: a time-consistent strategy
• Applied stochastic control of jump diffusions.
• Investment and consumption without commitment
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Interest rate models -- theory and practice. With smile, inflation and credit
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
• On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
• Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
• A paradox in time-consistency in the mean-variance problem?
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Game theory. A multi-leveled approach
• Optimal hedging with basis risk under mean-variance criterion
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Quadratic hedging methods for defaultable claims
• Hedging life insurance contracts in a Lévy process financial market
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Exponential Ergodicity of the Jump-Diffusion CIR Process
• Risk-Minimization for Life Insurance Liabilities
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
• Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
• Modelling and management of mortality risk: a review
• On systematic mortality risk and risk-minimization with survivor swaps
• Measuring Basis Risk in Longevity Hedges
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Lévy Processes and Stochastic Calculus
• Locally Risk-minimizing Hedging of Insurance Payment Streams
• LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
• Transformation of H p -martingales by a change of law
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Risk-minimizing hedging strategies for insurance payment processes

This page was built for publication: Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting