Locally Risk-minimizing Hedging of Insurance Payment Streams
نویسندگان
چکیده
منابع مشابه
A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a L←vy process financial market
In [Riesner, M., 2006. Hedging life insurance contracts in a Lévy process financial market. Insurance Math. Econom. 38, 599–608] the (locally) risk-minimizing hedging strategy for unit-linked life insurance contracts is determined in an incomplete financial market driven by a Lévy process. The considered risky asset is not a martingale under the original measure and therefore, a change of measu...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2007
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.37.1.2020799