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~isPartOf:"Insurance / Mathematics & economics"
~person:"Ceci, Claudia"
~person:"Ziveyi, Jonathan"
~subject:"Föllmer-Schweizer decomposition"
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Föllmer-Schweizer decomposition
Lebensversicherung
6
Life insurance
6
Hedging
4
Option pricing theory
3
Optionspreistheorie
3
Theorie
3
Theory
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CAPM
2
Local risk-minimization
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Mortality
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Partial information
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Private Altersvorsorge
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Private retirement provision
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Sterblichkeit
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Stochastic process
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Stochastischer Prozess
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Unit-linked life insurance contracts
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Variable annuity
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Altersvorsorge
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Benchmark approach
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Benchmarking
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Filtering
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Fourier Space Time-stepping (FST) algorithm
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Galtchouk-Kunita-Watanabe decomposition
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Guaranteed Minimum Benefits (GMB)
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Guaranteed minimum maturity benefit
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Hedge ratios
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Incomplete information
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Interest rate risk
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Markov chain
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Markov processes
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Markov-Kette
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Markovian jump-diffusion models
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Markovian models
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Martingal
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Martingale
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Minimal martingale measure
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Ceci, Claudia
Ziveyi, Jonathan
Colaneri, Katia
2
Cretarola, Alessandra
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Insurance / Mathematics & economics
Insurance: Mathematics and Economics
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Unit-linked
life
insurance
policies : optimal hedging in partially observable market models
Ceci, Claudia
;
Colaneri, Katia
;
Cretarola, Alessandra
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 149-163
Persistent link: https://www.econbiz.de/10011774803
Saved in:
2
Hedging of unit-linked
life
insurance
contracts with unobservable mortality hazard rate via local risk-minimization
Ceci, Claudia
;
Colaneri, Katia
;
Cretarola, Alessandra
- In:
Insurance / Mathematics & economics
60
(
2015
),
pp. 47-60
Persistent link: https://www.econbiz.de/10010484834
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