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Equity-Linked Life Insurance: Partial Hedging Methods: Chapman and Hall/CRC Financial Mathematics Series

Autor Alexander Melnikov, Amir Nosrati
en Limba Engleză Paperback – 30 sep 2020
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.
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Specificații

ISBN-13: 9780367657772
ISBN-10: 0367657775
Pagini: 212
Dimensiuni: 156 x 234 mm
Greutate: 0.39 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series


Cuprins

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

Notă biografică

Alexander Melnikov is a Professor at the University of Alberta.


Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.

Descriere

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