Unit-linked life insurance policies : optimal hedging in partially observable market models
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
| Year of publication: |
September 2017
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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. 76.2017, p. 149-163
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| Subject: | Unit-linked life insurance contract | Progressive enlargement of filtration | Partial Information | Local risk-minimization | Föllmer-Schweizer decomposition | Markov processes | Lebensversicherung | Life insurance | Theorie | Theory | Hedging | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011774803