Efficient hedging and pricing of life insurance policies in a jump-diffusion model

被引：10
|
作者：
Kirch, M
Melnikov, A [1 ]
机构：
[1] Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada
[2] TU, Dept Financial & Actuarial Math, Vienna, Austria
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 06期
基金：
加拿大自然科学与工程研究理事会;
关键词：
efficient hedging; equity-linked life insurance; jump diffusion; quantile hedging;
D O I：
10.1080/07362990500292692
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is devoted to the problem of hedging contingent claims in the framework of a two factors jump-diffusion model under initial budget constraint. We give explicit formulas for the so called efficient hedging. These results are applied for the pricing of equity linked-life insurance contracts.
引用
收藏
页码：1213 / 1233
页数：21
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