Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
type: Item
instance of: scholarly article
title: Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
author: Wei Wang
author: Yang Shen
author: Zhixin Yang
author: Linyi Qian
published in: Journal of Industrial and Management Optimization
publication date: 2022-10-26T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60G55
zbMATH DE Number: 7607730
zbMATH Keywords: local risk-minimization
zbMATH Keywords: unit-linked life insurance
zbMATH Keywords: Hawkes process
zbMATH Keywords: hedging strategy
zbMATH Keywords: minimal martingale measure
MaRDI profile type: Publication
full work available at URL: jimo.2021072
OpenAlex ID: W3151887508
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DOI: 10.3934/JIMO.2021072
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description: scientific article; zbMATH DE number 7607730