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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 goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the benchmark approach in a …

Persistent link: https://www.econbiz.de/10010753197

Versicherungen im Umbruch : Werte schaffen, Risiken managen, Kunden gewinnen

Spremann, Klaus - 2005

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Risk classification in life insurance

Cummins, John David (contributor) - 1983

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Limit pricing and entry under incomplete information : an equilibrium analysis

Milgrom, Paul; Roberts, John - In: Econometrica : journal of the Econometric Society, an … 50 (1982) 2, pp. 443-459

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Shortfall-risk-basierte Portfolio-Strategien : Grundlagen, Anwendungen, Algorithmen

Kaduff, Jochen Volker - 1996

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Optimal funding and asset allocation rules for defined-benefit pension plans

Harrison, J. Michael; Sharpe, William F. - In: Financial aspects of the United States pension system, (pp. 91-105). 1983

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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 and Economics 60 (2015) C, pp. 47-60

In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there … contracts via the local risk-minimization approach under partial information. The Föllmer–Schweizer decomposition of the …

Persistent link: https://www.econbiz.de/10011190006

Guaranteed investment contracts : risk analysis and portfolio strategies

Walker, Kenneth L. - 1989

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BSDEs under partial information and financial applications

Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco - In: Stochastic Processes and their Applications 124 (2014) 8, pp. 2628-2653

this achievement to investigate the local risk-minimization approach for a semimartingale financial market model. …

Persistent link: https://www.econbiz.de/10011065037

An introduction to risk and return from common stocks

Brealey, Richard A. - 1993 - 2. ed., 5. print.

Persistent link: https://www.econbiz.de/10004197976