Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies

DOI10.1016/J.INSMATHECO.2007.12.005zbMath1141.91493OpenAlexW2097791861MaRDI QIDQ931193

An Chen

Publication date: 25 June 2008

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

Full work available at URL: http://hdl.handle.net/10419/22925

zbMATH Keywords

ruin probabilitydiscrete-time risk-minimizing hedging strategiesnet losspure endowment equity-linked life insurance

Mathematics Subject Classification ID

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Market value of life insurance contracts under stochastic interest rates and default risk
• Quantile hedging of equity-linked life insurance policies
• Efficient hedging of equity-linked life insurance policies
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Equity-linked life insurance: A model with stochastic interest rates
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Pricing of Unit-linked Life Insurance Policies
• Option pricing: A simplified approach
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Hedging Equity-Linked Life Insurance Contracts

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