Optimal Hedging Strategies for Multi-Period Guarantees in the Presence of Transaction Costs: A Stochastic Programming Approach
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چکیده
منابع مشابه
Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has is...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.899281