Equity-Linked Life Insurance

Partial Hedging Methods

Alexander Melnikov, Amir Nosrati

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English

Chapman & Hall/CRC
30 September 2020

Economic statistics; Finance & accounting; Probability & statistics; Applied mathematics

Series: Chapman and Hall/CRC Financial Mathematics Series

This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

By: Alexander Melnikov, Amir Nosrati
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm,
Weight: 308g
ISBN: 9780367657772
ISBN 10: 0367657775
Series: Chapman and Hall/CRC Financial Mathematics Series
Pages: 202
Publication Date: 30 September 2020
Audience: College/higher education , General/trade , Primary , ELT Advanced
Format: Paperback
Publisher's Status: Active

Basic notions and facts from stochastic analysis, mathematical nance and insurance. Quantile hedging of equity-liked life insurance contracts in the Black-Scholes model. Valuation of equity-linked life insurance contracts via efficient hedging in the Black-Scholes model. Quantile hedging and risk-management of contracts for diffusion and jump-diffusion models. CVaR-Hedging: theory and applications. Defaultable sequruties and equity-linked life insurances contracts. Equity-linked life insurance contracts and Bermudan options

Alexander Melnikov is a Professor at the University of Alberta. Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.