메뉴 건너뛰기




Volumn 5, Issue 2, 2001, Pages 79-95

Hedging Equity-Linked Life Insurance Contracts

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85011141399     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2001.10595986     Document Type: Article
Times cited : (49)

References (19)
  • 3
    • 0001018312 scopus 로고
    • The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee
    • BRENNAN, M. J., and E. S. SCHWARTZ. 1976. "The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee." Journal of Financial Economics 3: 195-213.
    • (1976) Journal of Financial Economics , vol.3 , pp. 195-213
    • Brennan, M.J.1    Schwartz, E.S.2
  • 4
    • 0008643888 scopus 로고
    • ALTERNATIVE INVESTMENT STRATEGIES FOR THE ISSUERS OF EQUITY-LINKED LIFE INSURANCE WITH AN ASSET VALUE GUARANTEE
    • BRENNAN, M. J., and E. S. SCHWARTZ. 1979A. "ALTERNATIVE INVESTMENT STRATEGIES FOR THE ISSUERS OF EQUITY-LINKED LIFE INSURANCE WITH AN ASSET VALUE GUARANTEE." JOURNAL OF BUSINESS 52: 63-93.
    • (1979) JOURNAL OF BUSINESS , vol.52 , pp. 63-93
    • Brennan, M.J.1    Schwartz, E.S.2
  • 7
    • 0033680824 scopus 로고    scopus 로고
    • Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
    • CVITANIC, J. 2000. "Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets." SIAM Journal on Control and Optimization 38: 1050-66.
    • (2000) SIAM Journal on Control and Optimization , vol.38 , pp. 1050-1066
    • Cvitanic, J.1
  • 9
    • 0002335001 scopus 로고
    • Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
    • EL KAROUI, N., and M. C. QUENEZ. 1995. "Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market." SIAM Journal on Control and Optimization 33: 29-66.
    • (1995) SIAM Journal on Control and Optimization , vol.33 , pp. 29-66
    • El Karoui, N.1    Quenez, M.C.2
  • 11
    • 0000015207 scopus 로고    scopus 로고
    • Efficient Hedging: Cost Versus Shortfall Risk
    • FÖLLMER, H., and P. LEUKERT. 2000. "Efficient Hedging: Cost Versus Shortfall Risk." Finance and Stochastics 4: 117-46.
    • (2000) Finance and Stochastics , vol.4 , pp. 117-146
    • Föllmer, H.1    Leukert, P.2
  • 12
    • 84974505825 scopus 로고
    • Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading
    • FÖLLMER, H., and M. SCHWEIZER. 1988. "Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading." ASTIN Bulletin 18: 147-60.
    • (1988) ASTIN Bulletin , vol.18 , pp. 147-160
    • Föllmer, H.1    Schweizer, M.2
  • 13
    • 0002289762 scopus 로고
    • Hedging of Non-Redundant Contingent Claims
    • W. Hildenbrand and A. Mas-Colell, Dordrecht: North-Holland
    • FÖLLMER, H., and D. SONDERMANN. 1986. "Hedging of Non-Redundant Contingent Claims." In Contributions to Mathematical Economics, ed. W. Hildenbrand and A. Mas-Colell, Dordrecht: North-Holland, pp. 205-23.
    • (1986) Contributions to Mathematical Economics , pp. 205-223
    • Föllmer, H.1    Sondermann, D.2
  • 14
    • 85011436156 scopus 로고    scopus 로고
    • Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
    • MØLLER, T. 1998. "Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts." ASTIN Bulletin 28: 17-47.
    • (1998) ASTIN Bulletin , vol.28 , pp. 17-47
    • Møller, T.1
  • 15
    • 4344643629 scopus 로고    scopus 로고
    • Risk-Minimizing Hedging Strategies for Insurance Payment Processes
    • Forthcoming
    • MØLLER, T. 2001. "Risk-Minimizing Hedging Strategies for Insurance Payment Processes." Finance and Stochastics. Forthcoming.
    • (2001) Finance and Stochastics
    • Møller, T.1
  • 16
    • 0038927259 scopus 로고
    • Equity-Linked Life Insurance: A Model with Stochastic Interest Rates
    • NIELSEN, J., and K. SANDMANN. 1995. "Equity-Linked Life Insurance: A Model with Stochastic Interest Rates." Insurance: Mathematics and Economics 16: 225-53.
    • (1995) Insurance: Mathematics and Economics , vol.16 , pp. 225-253
    • Nielsen, J.1    Sandmann, K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.