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Quantile hedging in models with dividends and application to equity-linked life insurance contracts
- Source :
- Mathematics and Financial Economics. 14:207-224
- Publication Year :
- 2019
- Publisher :
- Springer Science and Business Media LLC, 2019.
-
Abstract
- The paper demonstrates the effect of the dividends on pricing and hedging the European contingent claims under a budget constraint and presents insurance applications. Explicit formulae for the quantile pricing and hedging of the European call option are derived assuming the jump-diffusion model of the financial market. These results are used to determine the premium of the pure endowment with fixed guarantee equity-linked life insurance contract as well as the survival probability of the insured. A numerical example is given to illustrate the role of dividends in valuation and risk management of such insurance contracts.
- Subjects :
- Statistics and Probability
050208 finance
Actuarial science
Mathematical finance
05 social sciences
Equity (finance)
01 natural sciences
010104 statistics & probability
Insurance policy
Life insurance
0502 economics and business
Economics
Dividend
Call option
0101 mathematics
Statistics, Probability and Uncertainty
Finance
Budget constraint
Valuation (finance)
Subjects
Details
- ISSN :
- 18629660 and 18629679
- Volume :
- 14
- Database :
- OpenAIRE
- Journal :
- Mathematics and Financial Economics
- Accession number :
- edsair.doi...........58e9c0576c687f8eab65dd5a111ec6b8