CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs

Quantile hedging on equity-linked life insurance contracts with transaction costs

This paper analyzes the application of quantile hedging on equity-linked life insurance contracts in the presence of transaction costs. Following the time-based replication strategy, we present the explicit expressions for the present values of expected hedging errors and transaction costs. The results are derived by using the adjusted hedging volatility σ̄ proposed by Leland. Furthermore, the e...

Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy

Quantile hedging for equity-linked contracts

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We provide best strategy for an insurance company assuming the limited capital for the hedging.

CVaR pricing and hedging in Unit-Linked insurance products

This paper describes a way how to find the minimal seller’s price for a unit-linked insurance product in order to make the claim acceptable, under the assumption that information about the insurance process is only available at the time of maturity. For the general case, the price calculated here provides still an upper bound. Acceptability is defined through the CVaR criterion. Furthermore, th...

Option Hedging with Transaction Costs