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Start Over Author "Anna Glazyrina" Journal scandinavian actuarial journal
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1. Quantile hedging in a defaultable market with life insurance applications

Author

Anna Glazyrina and Alexander Melnikov

Subjects
Statistics and Probability, Economics and Econometrics, 050208 finance, Actuarial science, 05 social sciences, Equity (finance), 01 natural sciences, 010104 statistics & probability, Valuation of options, Life insurance, 0502 economics and business, Economics, Dividend, Call option, 0101 mathematics, Statistics, Probability and Uncertainty, Quantile
Abstract

The paper is devoted to quantile hedging in a market with defaultable securities. Both perfect and quantile hedging strategies are given for a European call option on a vulnerable equity. Applicati...

Published
2020

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