Explicit portfolio for unit-linked life insurance contracts with surrender option

DOI10.1016/j.cam.2008.04.031zbMath1179.91111OpenAlexW2083063260MaRDI QIDQ732095

Nele Vandaele, Michèle Vanmaele

Publication date: 9 October 2009

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.2008.04.031

zbMATH Keywords

Lévy processrisk-minimizationsurrender optionhedging strategyunit-linked

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

Cites Work

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• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Hedging life insurance contracts in a Lévy process financial market
• Credit risk: Modelling, valuation and hedging
• Risk-minimizing hedging strategies for insurance payment processes

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