Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time

DOI10.3233/RDA-170121zbMath1409.91134OpenAlexW2621269139MaRDI QIDQ3119649

Anna Glazyrina, 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-170121

zbMATH Keywords

risk-minimizationquadratic hedgingnumeraireequity-linked life insurance contracts\(P\)-discounting portfolio

Mathematics Subject Classification ID

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