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The paper deals with orthogonal polynomials as a useful technique which can be attracted to actuarial and financial modeling. We use Pearson’s differential equation as a way for orthogonal polynomials construction and solution. The generalized Rodrigues formula is used for this goal. Deriving...
Persistent link: https://www.econbiz.de/10010753199
Persistent link: https://www.econbiz.de/10005374584
This paper analyzes the application of quantile hedging on equity-linked life insurance contracts in the presence of transaction costs. Following the time-based replication strategy, we present the explicit expressions for the present values of expected hedging errors and transaction costs. The...
Persistent link: https://www.econbiz.de/10011046645
In this paper, the problem of partial hedging is studied by constructing hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio. Two dual versions of the problem are considered: minimization of CVaR with the initial wealth bounded from above, and minimization of...
Persistent link: https://www.econbiz.de/10011046672