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Hedging life insurance contracts in a Lévy process financial market

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  • Riesner, Martin

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  • Riesner, Martin, 2006. "Hedging life insurance contracts in a Lévy process financial market," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 599-608, June.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:3:p:599-608
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    References listed on IDEAS

    as
    1. Thomas Møller, 2001. "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, vol. 5(4), pages 419-446.
    2. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    3. Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
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    Cited by:

    1. Wei Wang & Linyi Qian & Wensheng Wang, 2016. "Hedging of contingent claims written on non traded assets under Markov-modulated models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(12), pages 3577-3595, June.
    2. Vandaele, Nele & Vanmaele, Michèle, 2008. "A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1128-1137, June.
    3. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2015. "Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 47-60.
    4. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014. "A benchmark approach to risk-minimization under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 129-146.
    5. Olivier Le Courtois & François Quittard-Pinon, 2008. "Fair Valuation of Participating Life Insurance Contracts with Jump Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 33(2), pages 106-136, December.
    6. Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
    7. Choulli, Tahir & Vandaele, Nele & Vanmaele, Michèle, 2010. "The Föllmer-Schweizer decomposition: Comparison and description," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 853-872, June.
    8. Abdou Kélani & François Quittard-Pinon, 2017. "Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 209-238, March.
    9. Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2015. "A martingale representation theorem and valuation of defaultable securities," Papers 1510.05858, arXiv.org, revised May 2018.
    10. Barbarin, Jérôme, 2008. "Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 41-55, August.
    11. N.H. Bingham & John M. Fry & Rüdiger Kiesel, 2010. "Multivariate elliptic processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 352-366.
    12. Pansera, Jérôme, 2012. "Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 1-11.

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