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Equity-Linked Life Insurance: Partial Hedging Methods [Kietas viršelis]

(University of Alberta, Edmonton, Canada), (University of Alberta, Edmonton, Canada)
  • Formatas: Hardback, 212 pages, aukštis x plotis: 234x156 mm, weight: 450 g, 12 Tables, black and white; 11 Line drawings, black and white; 11 Illustrations, black and white
  • Serija: Chapman and Hall/CRC Financial Mathematics Series
  • Išleidimo metai: 30-Aug-2017
  • Leidėjas: Chapman & Hall/CRC
  • ISBN-10: 1482240262
  • ISBN-13: 9781482240269
Kitos knygos pagal šią temą:
Equity-Linked Life Insurance: Partial Hedging MethodsDidesnis paveikslėlis
  • Formatas: Hardback, 212 pages, aukštis x plotis: 234x156 mm, weight: 450 g, 12 Tables, black and white; 11 Line drawings, black and white; 11 Illustrations, black and white
  • Serija: Chapman and Hall/CRC Financial Mathematics Series
  • Išleidimo metai: 30-Aug-2017
  • Leidėjas: Chapman & Hall/CRC
  • ISBN-10: 1482240262
  • ISBN-13: 9781482240269
Kitos knygos pagal šią temą:
Pastovi nuoroda: https://www.kriso.lt/db/9781482240269.html
Raktažodžiai:

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.

Preface ix
1 Basic notions and facts from stochastic analysis, mathematical finance and insurance
1(22)
1.1 Stochastic analysis
1(5)
1.2 Contemporary stochastic analysis
6(7)
1.3 Mathematical finance and insurance
13(10)
2 Quantile hedging of equity-linked life insurance contracts in the Black---Scholes model
23(30)
2.1 Quantile hedging of contracts with deterministic guarantees
23(9)
2.2 Quantile hedging of contracts with stochastic guarantees
32(14)
2.3 Quantile portfolio management with multiple contracts with a numerical example
46(7)
3 Valuation of equity-linked life insurance contracts via efficient hedging in the Black---Scholes model
53(24)
3.1 Efficient hedging and pricing formulas for contracts with correlated assets and guarantees
53(11)
3.2 Efficient hedging and pricing of contracts with perfectly correlated stocks and guarantees
64(8)
3.3 Illustrative risk-management for the risk-taking insurer
72(5)
4 Quantile hedging and risk management of contracts for diffusion and jump-diffusion models
77(30)
4.1 Quantile pricing formulas for contracts with perfectly correlated stocks and guarantees: Diffusion and jump-diffusion settings
77(13)
4.2 Quantile hedging and an exemplary risk-management scheme for equity-linked life insurance
90(17)
5 CVaR-Hedging: Theory and applications
107(30)
5.1 CVaR-hedging methodology and general theoretical facts
107(8)
5.2 CVaR-hedging in the Black---Scholes model with applications to equity-linked life insurance
115(10)
5.3 CVaR-hedging in the regime-switching telegraph market model
125(12)
6 Defaultable securities and equity-linked life insurance contracts
137(26)
6.1 Multiple defaults and defaultable claims in the Black---Scholes model
137(6)
6.2 Efficient hedging in defaultable market: Essence of the technique and main results
143(15)
6.3 Application to equity-linked life insurance contracts: Brennan-Schwartz approach vs. the superhedging
158(5)
7 Equity-linked life insurance contracts and Bermudan options
163(24)
7.1 GMDB life insurance contracts as Bermudan options
163(7)
7.2 Quantile hedging of GMDB life insurance contracts
170(11)
7.3 Numerical illustrations
181(6)
Bibliographic Remarks 187(6)
Bibliography 193(6)
Index 199
Alexander Melnikov is a Professor at the University of Alberta.



Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.