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Hedging of equity-linked with maximal success factor

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  • Klusik Przemyslaw

Abstract

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so called succes factor $\IE^\IP\left[{\mathbf 1}_{\{V_T \geq D)}+{\mathbf 1}_{\{V_T

Suggested Citation

  • Klusik Przemyslaw, 2014. "Hedging of equity-linked with maximal success factor," Papers 1405.0732, arXiv.org.
    • Handle: RePEc:arx:papers:1405.0732
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    References listed on IDEAS

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    1. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 303-304, December.
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    8. Alexander Melnikov & Yuliya Romanyuk, 2008. "Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 295-323.
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