Quantile hedging in a defaultable market with life insurance applications

Anna Glazyrina and Alexander Melnikov

Scandinavian Actuarial Journal, 2021, vol. 2021, issue 3, 248-265

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. Application of quantile methodology to pricing the equity-linked life insurance contracts is demonstrated. A numerical example is provided to illustrate the effect of a default on the option price, on the probability of successful hedging, and on the insurance-related variables.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2020.1830846 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2021:y:2021:i:3:p:248-265

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.2020.1830846

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().