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Efficient hedging 1 equity-linked insurance 1 multi-asset theorem 1
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MELNIKOV, ALEXANDER 1 ROMANYUK, YULIYA 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1
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EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
MELNIKOV, ALEXANDER; ROMANYUK, YULIYA - In: International Journal of Theoretical and Applied … 11 (2008) 03, pp. 295-323
The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. In particular, we consider a policy which pays the maximum of the values of n risky assets at some...
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