Optimal hedging strategies in equity-linked products

DOI10.1016/j.cam.2018.05.044zbMath1393.60040OpenAlexW2807958121MaRDI QIDQ724551

Ana Zalokar, Mihael Perman

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.044

zbMATH Keywords

optimal stoppingequity-linked products with guaranteeshedging of liabilities

Mathematics Subject Classification ID

Cites Work

• Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
• On the (in-)dependence between financial and actuarial risks
• Option pricing: A simplified approach
• Arbitrage Theory in Continuous Time
• Hedging Equity-Linked Life Insurance Contracts

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