EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS

DOI10.1142/S0219024915500478zbMath1337.91105OpenAlexW2264945873MaRDI QIDQ3460682

Amir Nosrati, Alexander V. Melnikov

Publication date: 8 January 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500478

zbMATH Keywords

Fréchet derivativeefficient hedgingdefault timesuperhedgingequity-linked life insurance contractGateaux derivativenonsmooth convex duality

Mathematics Subject Classification ID

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

Related Items (1)

CVaR Hedging in Defaultable Jump-Diffusion Markets

Cites Work

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• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Convex functional analysis
• Lectures on the Mathematics of Finance

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