A benchmark approach to risk-minimization under partial information
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Publication:743152
DOI10.1016/j.insmatheco.2014.01.003zbMath1296.91146arXiv1307.6036OpenAlexW2087736079MaRDI QIDQ743152
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6036
partial informationrisk-minimizationGaltchouk-Kunita-Watanabe decompositionunit-linked life insurance contractsbenchmark approachMarkovian jump-diffusion models
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Related Items (5)
The Föllmer–Schweizer decomposition under incomplete information ⋮ Optimal reinsurance via BSDEs in a partially observable model with jump clusters ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ A Hybrid Model for Pricing and Hedging of Long-dated Bonds
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