Efficient hedging for equity-linked life insurance contracts with stochastic interest rate

DOI10.3233/RDA-2012-0087zbMath1409.93023OpenAlexW1576306301MaRDI QIDQ3119615

Shuo Tong, Alexander V. Melnikov

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0087

zbMATH Keywords

stochastic interest raterisk managementefficient hedgingequity-linked life insurance

Mathematics Subject Classification ID

System identification (93B30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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