Hedging of equity-linked with maximal success factor

Klusik Przemyslaw

Papers from arXiv.org

Abstract: We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so called succes factor $\IE^\IP\left[{\mathbf 1}_{\{V_T \geq D)}+{\mathbf 1}_{\{V_T

Date: 2014-05
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