A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
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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.
- David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non-Attainable Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308.
- Riesner, Martin, 2007. "Locally Risk-minimizing Hedging of Insurance Payment Streams," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 37(01), pages 67-91, May.
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- Riesner, Martin, 2006. "Hedging life insurance contracts in a Lévy process financial market," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 599-608, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:bla:jrinsu:v:84:y:2017:i:1:p:209-238 is not listed on IDEAS
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014.
"A benchmark approach to risk-minimization under partial information,"
Insurance: Mathematics and Economics,
Elsevier, vol. 55(C), pages 129-146.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "A Benchmark Approach to Risk-Minimization under Partial Information," Papers 1307.6036, arXiv.org.
- Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2015.
"Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization,"
Insurance: Mathematics and Economics,
Elsevier, vol. 60(C), pages 47-60.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2014. "Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization," Papers 1406.6902, arXiv.org.
- Pansera, Jérôme, 2012. "Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 1-11.
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- Delong, Lukasz, 2010. "An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 278-293, December.
- Choulli, Tahir & Vandaele, Nele & Vanmaele, Michèle, 2010. "The Föllmer-Schweizer decomposition: Comparison and description," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 853-872, June.
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