Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Year of publication: |
2015
|
---|---|
Authors: | Ceci, Claudia ; Colaneri, Katia ; Cretarola, Alessandra |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 60.2015, C, p. 47-60
|
Publisher: |
Elsevier |
Subject: | Local risk-minimization | Partial information | Unit-linked life insurance contracts | Minimal martingale measure | Föllmer-Schweizer decomposition | Markovian models | Filtering |
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