A01=Alexander Melnikov
A01=Amir Nosrati
actuarial science
advanced equity-linked insurance pricing
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Amir Nosrati
Author_Alexander Melnikov
Author_Amir Nosrati
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Bermudan Option
BlackScholes Model
Category1=Non-Fiction
Category=KFF
Category=PBT
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CVaR Minimization
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Efficient Hedging
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financial risk modeling
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Hedging Problem
Imperfect Hedging
insurance mathematics
Ito Formula
jump-diffusion models
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Levy Process
Local Martingale
Martingale Measure
Max Min Problem
Minimal Hedge
Optimal CVaR
Optimal Trading Strategy
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perfect
Perfect Hedge
Plain Vanilla Call Option
Power Loss Function
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Quadratic Hedging
Quantile Hedging
risk quantification
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Stochastic Basis
Stochastic Exponentials
Stochastic Integral
stochastic processes
Unique Equivalent Martingale Measure
Wiener Process
Product details
- ISBN 9780367657772
- Weight: 390g
- Dimensions: 156 x 234mm
- Publication Date: 30 Sep 2020
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Paperback
- Language: English
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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.
Alexander Melnikov is a Professor at the University of Alberta.
Amir Nosrati completed his PhD in Mathematical Finance at the University of Alberta.
