Search Results - subject:"Mean variance hedging"

Optimal hedging of demographic risk in life insurance

Norberg, Ragnar - In: Finance and Stochastics 17 (2013) 1, pp. 197-222

A Markov chain model is taken to describe the development of a multi-state life insurance policy or portfolio in a stochastic economic–demographic environment. It is assumed that there exists an arbitrage-free market with tradeable securities derived from demographic indices. Adopting a...

Persistent link: https://www.econbiz.de/10010847046

Mean-Variance Hedging on uncertain time horizon in a market with a jump

Ngoupeyou, Armand; Lim, Thomas; Kharroubi, Idris - Université Paris-Dauphine (Paris IX) - 2013

In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau , where T is a deterministic … for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of …

Persistent link: https://www.econbiz.de/10010720305

Mean-variance hedging with oil futures

Wang, Liao; Wissel, Johannes Stefan - In: Finance and stochastics 17 (2013) 4, pp. 641-683

Persistent link: https://www.econbiz.de/10010190888

ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL

TEVZADZE, R.; UZUNASHVILI, T. - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250024-1

In this paper, we consider the mean-variance hedging problem of contingent claims in a financial market model composed … explicit solution for the robust mean-variance hedging problem in the single-period model for some types of contingent claims. …

Persistent link: https://www.econbiz.de/10010551037

A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES

NORBERG, RAGNAR; SAVINA, OKSANA - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250030-1

The present study addresses the problem of designing a catastrophe derivative that insurers can use to hedge catastrophe-related losses in an incomplete market. The losses are modeled as a doubly stochastic compound Poisson process with shot-noise intensity. The hedging capability of a...

Persistent link: https://www.econbiz.de/10010552941

A quadratic hedging approach to comparison of catastrophe indices

Norberg, Ragnar; Savina, Oksana - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10009624461

Robust mean-variance hedging and pricing of contingent claims in a one period model

Tevzadze, Revaz; Uzunashvili, T. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10009624486

Mean-Variance Hedging under Additional Market Information

Thierbach, Frank - 2002

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional … measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed …

Persistent link: https://www.econbiz.de/10010263048

Mean-Variance Hedging under Additional Market Information

Thierbach, Frank - University of Bonn, Germany - 2002

Persistent link: https://www.econbiz.de/10004968393

Analytical comparisons of option prices in stochastic volatility models

Henderson, Vicky - 2002

Persistent link: https://www.econbiz.de/10009581661