Unit-linked life insurance policies: optimal hedging in partially observable market models
From MaRDI portal
Publication:2404551
DOI10.1016/j.insmatheco.2017.07.005zbMath1395.91247arXiv1608.07226OpenAlexW2566256176MaRDI QIDQ2404551
Alessandra Cretarola, Katia Colaneri, Claudia Ceci
Publication date: 19 September 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.07226
Markov processespartial informationFöllmer-Schweizer decompositionlocal risk-minimizationprogressive enlargement of filtrationunit-linked life insurance contract
Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)
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