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Quantile hedging on equity-linked life insurance contracts with transaction costs
Institution:1. DFG Research Training Group 1100, University of Ulm, Ulm, Germany;2. Institut de Statistique, Biostatistique et Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium;3. Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh, United Kingdom;1. Department of Statistics, Pennsylvania State University, University Park, PA 16802, USA;2. Laboratory for Information and Decision Systems and Institute for Data, Systems and Society, Massachusetts Institute of Technology, Cambridge, MA 02139, USA;1. TU Dortmund University, Faculty of Mathematics, Vogelpothsweg 87, D-44227 Dortmund, Germany;2. TU Dortmund University, Faculty of Economics and Social Sciences, Otto-Hahn-Str. 12, D-44227 Dortmund, Germany;3. International Energy Company, Vienna, Austria;4. University of Leipzig, Faculty of Economics, Grimmaische Str. 12, D-04107 Leipzig, Germany;1. School of Risk and Actuarial Studies, UNSW Australia Business School, UNSW Sydney NSW 2052, Australia;2. Département de Mathématiques et de Statistique, Université de Montréal, Montréal QC H3T 1J4, Canada;1. Université de Cergy-Pontoise, UMR 8088 Analyse, Géométrie et Modélisation, 95302 Cergy-Pontoise cedex, France;2. Aix Marseille Univ, CNRS, Centrale Marseille, I2M, 13288 Marseille cedex 9, France;3. Équipe SAMM, EA 4543 Université Paris I Panthéon-Sorbonne, 90, rue de Tolbiac 75634 Paris cedex 13, France;4. Univ Lyon, Université Lyon 1, ISFA, LSAF EA2429, 50 avenue Tony Garnier, F-69007 Lyon, France
Abstract:
Keywords:Quantile hedging  Equity-linked life insurance  Transaction costs  Adjusted hedging volatility  Hedging costs
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