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• W98088619 abstract "In this paper we study efficient hedging and its applications to the pricing of equitylinked life insurance contracts. We devote our attention to the pure endowment contracts with a flexible guarantee. In our setting, these insurance instruments are based on two risky assets of the market controlled by the Black-Scholes model during the contract period. The first asset is responsible for the maximal size of future profit while the second provides a flexible guarantee for the insured.The insurance company is considered as a hedger of a maximum of two risky assets as a contingent claim in this market. The contract is exercised if the insured is still alive at the maturity time and cannot be perfectly hedged in view of a positive survival probability of a client. To provide an appropriate risk-management in connection of such a contract, the company should exploit some imperfect hedging forms. Here we propose the use of efficient hedging with a power loss function.Specifying developments in this area, we create the pricing methodology for the insurance contracts under consideration in terms of a generalized Margrabe’s formula.The results are illustrated by a numerical actuarial analysis with the indices Russell 2000and Dow Jones Industrial Average." @default.
• W98088619 created "2016-06-24" @default.
• W98088619 creator A5013399313 @default.
• W98088619 creator A5066590535 @default.
• W98088619 date "2005-02-01" @default.
• W98088619 modified "2023-09-24" @default.
• W98088619 title "Efficient Hedging Methodology Applied to Equity-Linked Life Insurance" @default.
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• W98088619 hasPublicationYear "2005" @default.
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