Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets

DOI10.1007/978-3-0348-0545-2_15zbMath1281.91098OpenAlexW135946446MaRDI QIDQ5746529

Francesca Biagini

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_15

zbMATH Keywords

martingale methodslocal risk minimizationbenchmark approachactuarial premium determinationhybrid markets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (6)

Polynomial diffusion models for life insurance liabilities ⋮ Extended reduced-form framework for non-life insurance ⋮ Intensity-based premium evaluation for unemployment insurance products ⋮ Local risk-minimization under the benchmark approach ⋮ BENCHMARKED RISK MINIMIZATION ⋮ A benchmark approach to risk-minimization under partial information

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