Risk-Minimization for Life Insurance Liabilities

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DOI10.1137/110856836zbMath1278.62165OpenAlexW2114915197MaRDI QIDQ2873126

Francesca Biagini, Irene Schreiber

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3fe5b38df59cbb770fbe786297bd0191941ef15e

zbMATH Keywords

unit-linked life insurance affine mortality structure martingale representation risk-minimization stochastic mortality longevity bond life insurance liability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Related Items (7)

Polynomial diffusion models for life insurance liabilities ⋮ Extended reduced-form framework for non-life insurance ⋮ The Formation of Financial Bubbles in Defaultable Markets ⋮ Intensity-based premium evaluation for unemployment insurance products ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Risk-minimization for life insurance liabilities with basis risk

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