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Unit-linked life insurance policies: Optimal hedging in partially observable market models

  • Published:2017-09 Issue: Volume:76 Page:149-163
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Ceci Claudia,Colaneri Katia,Cretarola Alessandra

Funder

Istituto Nazionale di Alta Matematica (INdAM)

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference51 articles.

1. Unicité et existence de la loi minimale;Ansel,1993

2. Barbarin, J., 2007. Risk minimizing strategies for life insurance contracts with surrender option, Available At SSRN 1334580.

3. Valuation and Hedging in Insurance: Applications to Life and Non-Life Insurance Contracts;Barbarin,2009

4. Risk-minimization for life insurance liabilities with dependent mortality risk;Biagini;Math. Finance,2017

5. Local risk-minimization for defaultable claims with recovery process;Biagini;Appl. Math. Optim.,2012

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