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A benchmark approach to risk-minimization under partial information |
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| Affiliation: | 1. Faculty of Computer and Software, Nanjing University of Information, Science, and Technology, Nanjing, 210044, China;2. School of Computer Science and Software Engineering, University of Wollongong, Wollongong, 2522, Australia;1. College of Management and Economics, Tianjin University, No.92, Weijin Road, Nankai District, Tianjin 300072, China;2. Department of Industrial Engineering, Tsinghua University, Haidian District, Beijing, China |
| Abstract: | |
| Keywords: | Risk-minimization Galtchouk–Kunita–Watanabe decomposition Benchmark approach Partial information Unit-linked life insurance contracts Markovian jump-diffusion models |
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