It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth...

All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The goal of this paper is to investigate the convex hedging of contingent claims for which superhedging does not exist. Without superhedging assumption it is still possible to prove...

This paper studies the problem of hedging equity-linked life insurance contracts with efficient hedging technique in stochastic interest economy. In our setting, the payoff of life insurance contracts is based on two risky assets, where the return processes are driven by different correlated...

Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different...

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...

We show the existence of efficient hedge strategies for an investor facing the problem of a lack of initial capital for implementing a (super-) hedging strategy for an American contingent claim in a general incomplete market. In order to optimize we consider the maximization of the expected...