All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The goal of this paper is to investigate the convex hedging of contingent claims for which superhedging does not exist. Without superhedging assumption it is still possible to prove...

Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different...