Object structure
Title:

Hedging of equity-linked contract with maximal success factor

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Title in english:

Zabezpieczenie kontraktu typu equity-linked z maksymalnym współczynnikiem sukcesu

Creator:

Klusik, Przemysław

Subject and Keywords:

quantile hedging ; equity-linked contract ; hedging kwantylowy ; kontrakty equity-linked

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2021, Nr 19 (25), s. 31-39

Abstrakt:

The author considers an equity-linked contract whose payoff depends on the lifetime of the policy holder and the stock price, and assumes the limited capital for hedging and provides the best strategy for an insurance company in the meaning of the so-called success factor 𝐸ℙ[𝟏{𝑉𝑇≥𝐷} + 𝟏{𝑉𝑇<𝐷} 𝑉𝑇 𝐷 ], where 𝑉𝑇 denotes the end value of the strategy and D is the payoff of the contract. The study is a generalisation of the work by Föllmer and Schied (2004), and Klusik and Palmowski (2011), but it considers the much more general ‘incompleteness’ of the market, among others, midterm nonmarket information signals and infinite nonmarket scenarios

Publisher:

Publishing House of Wroclaw University of Economics and Business

Place of publication:

Wroclaw

Date:

2021

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/sps.2021.19.02

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2021, Nr 19 (25)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu

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