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The pricing of liabilities in an incomplete market using dynamic mean-variance hedging

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  • Thomson, Robert J.

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  • Thomson, Robert J., 2005. "The pricing of liabilities in an incomplete market using dynamic mean-variance hedging," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 441-455, June.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:441-455
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    References listed on IDEAS

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    1. Stapleton, R C & Subrahmanyam, Marti G, 1978. "A Multiperiod Equilibrium Asset Pricing Model," Econometrica, Econometric Society, vol. 46(5), pages 1077-1096, September.
    2. Martin Schweizer, 1995. "Variance-Optimal Hedging in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 1-32, February.
    3. Svensson, Lars E. O. & Werner, Ingrid M., 1993. "Nontraded assets in incomplete markets : Pricing and portfolio choice," European Economic Review, Elsevier, vol. 37(5), pages 1149-1168, June.
    4. Hairs, C.J. & Belsham, D.J. & Bryson, N.M. & George, C.M. & Hare, D.J.P. & Smith, D.A. & Thompson, S., 2002. "Fair Valuation of Liabilities," British Actuarial Journal, Cambridge University Press, vol. 8(2), pages 203-299, June.
    5. MOSSIN, Jan, 1968. "Optimal multiperiod portfolio policies," LIDAM Reprints CORE 19, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Keel, Alex & Müller, Heinz H., 1995. "Efficient Portfolios in the Asset Liability Context," ASTIN Bulletin, Cambridge University Press, vol. 25(1), pages 33-48, May.
    7. Bouleau, Nicolas & Lamberton, Damien, 1989. "Residual risks and hedging strategies in Markovian markets," Stochastic Processes and their Applications, Elsevier, vol. 33(1), pages 131-150, October.
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    Cited by:

    1. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & van Wijnbergen, Sweder J.G., 2023. "Intergenerational sharing of unhedgeable inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 140-160.
    2. Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu, 2021. "Fair dynamic valuation of insurance liabilities via convex hedging," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 1-13.
    3. Chen, D.H.J. & Beetsma, R.M.W.J. & van Wijnbergen, S.J.G., 2020. "Unhedgeable inflation risk within pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 7-24.

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