Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
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Publication:5707909
DOI10.1080/07362990500292692zbMath1125.91054OpenAlexW2038999245MaRDI QIDQ5707909
Michael Kirch, Alexander V. Melnikov
Publication date: 25 November 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990500292692
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (7)
Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts ⋮ Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ Quantile hedging in models with dividends and application to equity-linked life insurance contracts ⋮ CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ Quantile hedging on equity-linked life insurance contracts with transaction costs ⋮ CVaR Hedging in Defaultable Jump-Diffusion Markets
Cites Work
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Pricing options on securities with discontinuous returns
- Reserving for maturity guarantees: Two approaches
- Indifference pricing of insurance contracts in a product space model
- Efficient hedging: cost versus shortfall risk
- Quantile hedging
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Option Pricing For Jump Diffusions: Approximations and Their Interpretation
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
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