Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model |
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| Authors: | Michael Kirch |
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| Affiliation: | Department of Financial and Actuarial Mathematics , TU , Vienna, Austria |
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| Abstract: | Abstract This paper is devoted to the problem of hedging contingent claims in the framework of a two factors jump-diffusion model under initial budget constraint. We give explicit formulas for the so called efficient hedging. These results are applied for the pricing of equity linked-life insurance contracts. |
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| Keywords: | Efficient hedging Equity-linked life insurance Jump diffusion Quantile hedging |
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