Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

DOI10.1016/j.insmatheco.2011.10.001zbMath1235.91104OpenAlexW1988959228MaRDI QIDQ2427802

Jérôme Pansera

Publication date: 18 April 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.001

zbMATH Keywords

incomplete marketenlargement of filtrationunit-linked life insurancelocal risk minimizationminimal martingale measureequity-indexed annuitylocally risk-minimizing hedging strategy

Mathematics Subject Classification ID

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