Equity Linked Life Insurance Partial Hedging Methods 1st Edition by Alexander Melnikov, Amir Nosrati ISBN 978-0367657772 0367657775

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Product details: 

ISBN 10: 0367657775

ISBN 13: 978-0367657772

Author: Alexander Melnikov, Amir Nosrati 

This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

Table of contents: 

1. Basic notions and facts from stochastic analysis, mathematical finance and insurance

2. Quantile hedging of equity-linked life insurance contracts in the Black-Scholes model

3. Valuation of equity-linked life insurance contracts via efficient hedging in the Black-Scholes model

4. Quantile hedging and risk-management of contracts for diffusion and jump-diffusion models

5. CVaR-Hedging: theory and applications

6. Defaultable securities and equity-linked life insurance contracts

7. Equity-linked life insurance contracts and Bermudan options

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Tags: Alexander Melnikov, Amir Nosrati, Equity Linked, Insurance Partial