Equity-Linked Life Insurance

Partial Hedging Methods

Alexander Melnikov, Amir Nosrati (Autoren)

Buch | Softcover

202 Seiten

2020
Chapman & Hall/CRC (Verlag)
978-0-367-65777-2 (ISBN)

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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.

Alexander Melnikov is a Professor at the University of Alberta. Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.

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

Erscheinungsdatum	01.10.2020
Reihe/Serie	Chapman and Hall/CRC Financial Mathematics Series
Sprache	englisch
Maße	156 x 234 mm
Gewicht	390 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-367-65777-5 / 0367657775
ISBN-13	978-0-367-65777-2 / 9780367657772
Zustand	Neuware