Pricing equity-linked pure endowments with risky assets that follow Lévy processes
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References listed on IDEAS
- Thomas Møller, 2001. "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, vol. 5(4), pages 419-446.
- Moore, Kristen S. & Young, Virginia R., 2003. "Pricing equity-linked pure endowments via the principle of equivalent utility," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 497-516, December.
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- Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
- repec:eee:insuma:v:77:y:2017:i:c:p:119-132 is not listed on IDEAS
- Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.
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