In this paper we determine optimal trading strategies associated withthe financial variance and standard deviation principles of Schweizer (1997). These principles take into consideration the possibilities of hedging on the financial market and are derived by an indifference argument, which...

In investment and insurance contracts, certain stipulated payments may depend on the hedging strategy. We study the problem of calculation, hedging and valuation of such cash flows, by considering a payment process in a setup with taxes and investment costs that are functions of the investment...

The problem of the valuation of life insurance payments with policyholder behavior is studied. First, a simple survival model is considered, and it is shown how cash flows without policyholder behavior can be modified to include surrender and free policy behavior by calculation of simple...

Föllmer and Sondermann (1986) proved the existence of a unique admissible risk-minimizing hedging strategy for any square-integrable contingent claim H in the martingale case. We extend this approach to the situation where the hedger's liabilities are described by a general payment process A...