MELNIKOV, ALEXANDER; ROMANYUK, YULIYA - In: International Journal of Theoretical and Applied … 11 (2008) 03, pp. 295-323
The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. In particular, we consider a policy which pays the maximum of the values of n risky assets at some...