Quantile hedging in a defaultable market with life insurance applications
Anna Glazyrina and Alexander Melnikov
| Year of publication: |
2021
|
|---|---|
| Authors: | Glazyrina, Anna ; Melʹnikov, Aleksandr V. |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2021.2021, 3, p. 248-265
|
| Subject: | call option | defaultable bond | defaultable equity | dividends | equity-linked life insurance contract | option pricing | Quantile hedging | Hedging | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Dividende | Dividend | Insolvenz | Insolvency | Anleihe | Bond | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2020.1830846 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500262