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

Stochastic Analysis and Applications

Volumn 23, Issue 6, 2005, Pages 1213-1233

  Kirch, Michael ^a   Melnikov, Alexander ^b  

^a Department of Financial and Actuarial Mathematics ^*  (Austria)

^b UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Efficient hedging; Equity linked life insurance; Jump diffusion; Quantile hedging

Indexed keywords

EID: 27844523565     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362990500292692     Document Type: Article

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