HEDGING METHODOLOGIES IN EQUITY-LINKED LIFE INSURANCE. Alexander Melnikov University of Alberta, Edmonton

First, we find the amounts of an expected shortfall ((44), (42), and (40)) for the different risk preferences based on the available level of initial capital, given as a percentage

∗ Maria Alexandrova, Alexander Bohnert, and Nadine Gatzert are at the Friedrich-Alexander University Erlan- gen-Nürnberg (FAU), Department of Insurance Economics and Risk

We study the problem in a general setting, introducing ”conditioned contingent claims,” and show how quantile hedging can be utilized in pricing of such contracts in the framework

In this paper we propose a way to obtain the distribution of the discounted future costs in a unit-linked life insurance contract with minimum death guarantee according to

This Code of Best Practices in Advertising Collective Investment Schemes ("CIS") and Investment-linked Life Insurance Policies ("ILPs") (this "Code") is

∗ Maria Alexandrova, Alexander Bohnert and Nadine Gatzert are at the Friedrich-Alexander University Erlan- gen-Nürnberg (FAU), Department of Insurance Economics and Risk

Then based on the optimal behavior of a policyholder, the fair single premium of such the insurance contracts charged by issuers is calculated and the pricing formula

The premium paid in unit linked life insurance policies are subject to investment risk associated with capital markets and the unit price of the units may go up or down based on