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  • Search: subject:"Galtchouk–Kunita–Watanabe decomposition"
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Year of publication
Subject
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Galtchouk-Kunita-Watanabe decomposition 3 Benchmark approach 2 Galtchouk–Kunita–Watanabe decomposition 2 Markovian jump-diffusion models 2 Option pricing theory 2 Optionspreistheorie 2 Partial information 2 Risk-minimization 2 Unit-linked life insurance contracts 2 Benchmarking 1 Decomposition method 1 Defaultable claims 1 Dekompositionsverfahren 1 Föllmer-Schweizer measure 1 Föllmer–Schweizer decomposition 1 Hedging 1 Hedging strategy 1 Hedging: Finance 1 Incomplete information 1 Incomplete market 1 Jump processes 1 Lebensversicherung 1 Life insurance 1 Local risk-minimization 1 Locally risk-minimizing 1 Lévy processes 1 Markov chain 1 Markov-Kette 1 Parameter estimation 1 Payment streams 1 Portfolio selection 1 Portfolio-Management 1 Quadratic hedging 1 Risiko 1 Risk 1 Risk: Insurance 1 Stochastic process 1 Stochastischer Prozess 1 Unit-linked life insurance 1 Unvollkommene Information 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Thesis 1
Language
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English 3 Undetermined 2
Author
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Ceci, Claudia 2 Colaneri, Katia 2 Cretarola, Alessandra 2 Balbás, Alejandro 1 Buchardt, Kristian 1 Furrer, Christian 1 Garrido, José 1 Møller, Thomas 1 Okhrati, Ramin 1 Riesner, Martin 1
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Published in...
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 Scandinavian actuarial journal 1 Stochastic Processes and their Applications 1
Source
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ECONIS (ZBW) 2 RePEc 2 BASE 1
Showing 1 - 5 of 5
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Tax- and expense-modified risk-minimization for insurance payment processes
Buchardt, Kristian; Furrer, Christian; Møller, Thomas - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 934-961
Persistent link: https://www.econbiz.de/10012313749
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Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
Okhrati, Ramin; Balbás, Alejandro; Garrido, José - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 2868-2891
In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Föllmer–Schweizer decompositions are discussed in a structural model. This is done when the underlying process is a finite variation Lévy process and the claims pay a predetermined...
Persistent link: https://www.econbiz.de/10011065047
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A benchmark approach to risk-minimization under partial information
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 129-146
the optimal strategy as the integrand appearing in the Galtchouk–Kunita–Watanabe decomposition of the benchmarked … contingent claim under partial information and provide its description in terms of the integrand in the classical Galtchouk–Kunita–Watanabe … decomposition under full information via dual predictable projections. Finally we show how these results can be applied to unit …
Persistent link: https://www.econbiz.de/10010753197
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Cover Image
A benchmark approach to risk-minimization under partial information
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 55 (2014), pp. 129-146
Persistent link: https://www.econbiz.de/10010366196
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Unit-linked life insurance in Lévy-process financial markets - modeling, hedging and statistics
Riesner, Martin - 2006
The main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of...
Persistent link: https://www.econbiz.de/10009462196
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