Pricing and Hedging Insurance Products in Hybrid Markets
eBook - PDF

Pricing and Hedging Insurance Products in Hybrid Markets

,
  1. 178 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Pricing and Hedging Insurance Products in Hybrid Markets

,

About this book

Diese Dissertation stellt innovative Pricing- und Hedging-Modelle fĂŒr eine breite Klasse von Versicherungsprodukten vor. Eine wichtige Neuerung im Hinblick auf die existierende Literatur ist dabei das Anwenden F-doppelt stochastischer Markovketten, was die Ausarbeitung der Formeln anhand stochastischer IntensitĂ€tsprozesse ermöglicht. FĂŒr die PrĂ€mienbestimmung fĂŒr Arbeitslosigkeitsversicherungsprodukte werden die IntensitĂ€tsprozesse durch mikro- und makroökonomische stochastische Kovariablenprozesse generiert, um EinflĂŒsse und AbhĂ€ngigkeitsstrukturen innerhalb von ArbeitsmĂ€rkten zu untersuchen. Als Preisregel wird die "Real-World"-Preisformel des Benchmark-Ansatzes gewĂ€hlt.FĂŒr die Bestimmung optimaler Hedgingstrategien werden quadratische Hedging-Methoden auf eine breite Klasse von Versicherungsprodukten, u.a. Lebensversicherungsprodukten, angewandt. Die Lösungen werden dabei anhand der Galtchouk-Kunita-Watanabe-Zerlegung jeweiligen der Schadenprozesse bestimmt.

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Yes, you can access Pricing and Hedging Insurance Products in Hybrid Markets by in PDF and/or ePUB format. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Cuvillier Verlag
Year
2013
Print ISBN
9783954045877
eBook ISBN
9783736945876
Edition
1

Table of contents

  1. Zusammenfassung
  2. Summary
  3. Preface and Acknowledgements
  4. Contents
  5. List of Figures
  6. List of Tables
  7. List of Symbols and Abbreviations
  8. Introduction
  9. 1. Preliminaries on Hybrid Financial and Insurance Markets
  10. 2. Pricing of Unemployment Insurance Products
  11. 3. Mean-Variance Hedging for Mortality Claims with Longevity Bonds
  12. 4. Risk-Minimization for General Insurance Contracts
  13. 5. Conclusion
  14. Appendices
  15. References