In an incomplete financial market in which the dynamics of the asset prices is driven by a d-dimensional continuous semimartingale X, we consider the problem of pricing European contingent claims embedded in a power utility framework. This problem reduces to identifying the p-optimal martingale measure, which can be given in terms of the solution to a semimartingale backward equation. We use th...

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...