The pricing of liabilities in an incomplete market using dynamic mean-variance hedging

DOI10.1016/j.insmatheco.2005.04.002zbMath1120.62094OpenAlexW2062076119MaRDI QIDQ882871

Robert J. Thomson

Publication date: 24 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.04.002

zbMATH Keywords

Incomplete marketsEquilibrium market modelsMarket value of liabilities

Mathematics Subject Classification ID

Related Items (6)

Intergenerational sharing of unhedgeable inflation risk ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Unhedgeable inflation risk within pension schemes

Cites Work

• Unnamed Item
• Mean-variance hedging in continuous time
• Mean-variance hedging for general claims
• Residual risks and hedging strategies in Markovian markets
• A Multiperiod Equilibrium Asset Pricing Model
• On Quadratic Cost Criteria for Option Hedging
• Variance-Optimal Hedging in Discrete Time

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