Equity-Linked Life Insurance

Partial Hedging Methods

Häftad, Engelska, 2020

Av Alexander Melnikov, Amir Nosrati, Canada) Melnikov, Alexander (University of Alberta, Edmonton, Canada) Nosrati, Amir (University of Alberta, Edmonton

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This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

Produktinformation

Utgivningsdatum2020-09-30
Mått156 x 234 x undefined mm
Vikt390 g
FormatHäftad
SpråkEngelska
SerieChapman and Hall/CRC Financial Mathematics Series
Antal sidor202
FörlagTaylor & Francis Ltd
ISBN9780367657772

Tillhör följande kategorier

Basic notions and facts from stochastic analysis, mathematical nance and insurance. Quantile hedging of equity-liked life insurance contracts in the Black-Scholes model. Valuation of equity-linked life insurance contracts via efficient hedging in the Black-Scholes model. Quantile hedging and risk-management of contracts for diffusion and jump-diffusion models. CVaR-Hedging: theory and applications. Defaultable sequruties and equity-linked life insurances contracts. Equity-linked life insurance contracts and Bermudan options