Gao, Quansheng; He, Ting; Zhang, Chi - In: Economic Modelling 28 (2011) 1-2, pp. 147-156
In this paper we examine equity-linked life insurance contracts in a stochastic interest rate economy via quantile hedging whose purpose is to look for the optimal probability of a successful hedge under initial budget constraint. Most of the existing studies have focused on valuing...
