Locally Risk-minimizing Hedging of Insurance Payment Streams

DOI10.2143/AST.37.1.2020799zbMath1162.91431MaRDI QIDQ3632829

Martin Riesner

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

hedgingincomplete marketMarkov chainLévy processsemimartingaleunit-linked life insuranceLocally risk-minimizing

Mathematics Subject Classification ID

Related Items (6)

Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market ⋮ 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 ⋮ LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS

Cites Work

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• Option hedging for semimartingales
• Pricing contingent claims on stocks driven by Lévy processes
• Risk-minimality and orthogonality of martingales
• Risk-minimizing hedging strategies for insurance payment processes

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