Risk-minimization for life insurance liabilities with basis risk
Year of publication: |
March 2016
|
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Authors: | Biagini, Francesca ; Rheinländer, Thorsten ; Schreiber, Irene |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 10.2016, 2, p. 151-178
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Subject: | Life insurance payment processes | Risk-minimization | Martingale representation | Basis risk | Affine mortality structure | Lebensversicherung | Life insurance | Sterblichkeit | Mortality | Risiko | Risk | Martingal | Martingale | Hedging | Optionspreistheorie | Option pricing theory |
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