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Mean-variance hedging of contingent claims with random maturity
Kladívko, Kamil; Zervos, Mihail - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1213-1247
Persistent link: https://www.econbiz.de/10014370649
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Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; … - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 709-742
Persistent link: https://www.econbiz.de/10012307394
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The pricing and hedging of barrier options and their applications in finance and life insurance
Suchanecki, Michael - 2008
Persistent link: https://www.econbiz.de/10003685182
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Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
Cheuk-yin Ng, Andrew; Siu-hang Li, Johnny - In: North American actuarial journal 17 (2013) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10010259822
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.; Tong, Shuo - In: Insurance / Mathematics & economics 58 (2014), pp. 77-88
Persistent link: https://www.econbiz.de/10010437626
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Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Melʹnikov, Aleksandr V.; Nosrati, Amir - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-28
Persistent link: https://www.econbiz.de/10011404363
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The risk management of minimum return guarantees
Mahayni, Antje; Schlögl, Erik - 2003
Persistent link: https://www.econbiz.de/10002250900
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The risk management of minimum return guarantees
Mahayni, Antje (contributor); Schlögel, Erik (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001970344
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Fair Valuation of Insurance Liabilities Via Mean-variance Hedging in a Multi-period Setting
Barigou, Karim - 2018
A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. in a single period framework. In particular, the...
Persistent link: https://www.econbiz.de/10012925864