Equity-Linked Life Insurance
Partial Hedging Methods
1st Edition
Published on 30. September 2020
Book
Paperback/Softback
202 pages
978-0-367-65777-2 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Oxford
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
College/higher education
Dimensions
Height: 234 mm
Width: 156 mm
Weight
390 gr
ISBN-13
978-0-367-65777-2 (9780367657772)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
E-Book
09/2017
Chapman & Hall/CRC
€66.99
Available for download
E-Book
09/2017
Chapman & Hall/CRC
€66.99
Available for download
Book
08/2017
1st Edition
Chapman & Hall/CRC
€165.60
Article not available for order
Persons
Alexander Melnikov is a Professor at the University of Alberta.
Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.
Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.
Content
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