Hedging insurance books

DOI10.1016/j.insmatheco.2016.05.002zbMath1371.91175OpenAlexW3121583830MaRDI QIDQ2520465

Peter Carr, Michael Melamed, Dilip B. Madan, Wim Schoutens

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.002

zbMATH Keywords

variance gamma modelacceptable risksrisk premiumsarrival ratesbid and ask pricesconcave distortions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Estimation of ask and bid prices for geometric Asian options

Cites Work

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• Risk premia in option markets
• Dynamic conic hedging for competitiveness
• A two price theory of financial equilibrium with risk management implications
• Asset pricing theory for two price economies
• Theory of capacities
• Coherent Measures of Risk
• CONIC PORTFOLIO THEORY
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• The Dual Theory of Choice under Risk
• Theory of Financial Risk and Derivative Pricing
• Monte Carlo Methods and Models in Finance and Insurance

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