Quantile hedging for guaranteed minimum death benefits
From MaRDI portal
Publication:659169
DOI10.1016/j.insmatheco.2009.09.008zbMath1231.91248OpenAlexW2039298440MaRDI QIDQ659169
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.008
Related Items
Quantile hedging pension payoffs: an analysis of investment incentives ⋮ Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation ⋮ Analytical calculation of risk measures for variable annuity guaranteed benefits ⋮ VAR-BASED OPTIMAL PARTIAL HEDGING ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Quantile hedging in a defaultable market with life insurance applications ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? ⋮ Variable annuity pricing, valuation, and risk management: a survey
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Mean-variance hedging in continuous time
- Dynamic programming and mean-variance hedging
- Efficient hedging: cost versus shortfall risk
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- Approximation pricing and the variance-optimal martingale measure
- Quantile hedging
- Pricing Via Utility Maximization and Entropy
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- On the Mean-Variance Hedging Problem
- Option pricing: A simplified approach
- Hedging Equity-Linked Life Insurance Contracts
