Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Claudia Ceci; Katia Colaneri; Alessandra Cretarola
| Year of publication: |
2015
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|---|---|
| Authors: | Ceci, Claudia ; Colaneri, Katia ; Cretarola, Alessandra |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 60.2015, p. 47-60
|
| Subject: | Local risk-minimization | Partial information | Unit-linked life insurance contracts | Minimal martingale measure | Föllmer-Schweizer decomposition | Markovian models | Filtering | Lebensversicherung | Life insurance | Hedging | Sterblichkeit | Mortality | Martingal | Martingale | Markov-Kette | Markov chain | Versicherungsmathematik | Actuarial mathematics | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010484834