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The existence of dominating local martingale measures

Imkeller, Peter; Perkowski, Nicolas - In: Finance and stochastics 19 (2015) 4, pp. 685-717

Persistent link: https://www.econbiz.de/10011420345

Pham, Huyên - In: Mathematical Methods of Operations Research 51 (2000) 2, pp. 315-339

We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local)...

Persistent link: https://www.econbiz.de/10010999770

On quadratic hedging in continuous time

Pham, Huyên - In: Computational Statistics 51 (2000) 2, pp. 315-339

Persistent link: https://www.econbiz.de/10010759366

Dynamic hedging strategies based on changing pricing parameters for compound ratchets

Gaillardetz, Patrice; El Khoury, Samia - In: Asia-Pacific journal of risk and insurance : APJRI 14 (2020) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012196944

Optimal surrender strategies for equity-indexed annuity investors with partial information

Wei, Jiaqin; Wang, Rongming; Yang, Hailiang - In: Statistics & Probability Letters 82 (2012) 7, pp. 1251-1258

In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. We model the dynamics of the index using a geometric Brownian motion with regime switching. To...

Persistent link: https://www.econbiz.de/10010571790

How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?

Orozco-Garcia, Carolina; Schmeiser, Hato - In: Insurance / Mathematics & economics 65 (2015), pp. 77-93

Persistent link: https://www.econbiz.de/10011422877

Testing the risk as feeling and risk as analysis perspective for insurance : the antecedents of purchasing unit-linked life insurance products

Huber, Carin; Schlager, Tobias - In: Journal of financial services marketing : JFSM 23 (2018) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10011888490

Risk-minimization for life insurance liabilities with dependent mortality risk

Biagini, Francesca; Botero, Camila; Schreiber, Irene - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 505-533

Persistent link: https://www.econbiz.de/10011752521

Numerical analysis on local risk-minimization for exponential Lévy models

Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011454349

Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times

Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41

Persistent link: https://www.econbiz.de/10012807897

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