Pricing and hedging insurance products in hybrid markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Göttingen
Cuvillier
2013
|
| Ausgabe: | 1. Aufl. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. Sprache |
| Beschreibung: | XVIII, 155 S. |
| ISBN: | 9783954045877 |
Internformat
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| 245 | 1 | 0 | |a Pricing and hedging insurance products in hybrid markets |c Jan Maximilian Widenmann |
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS
PREFACE AND ACKNOWLEDGEMENTS IX
LIST OF FIGURES XIII
LIST OF TABLES XV
LIST OF SYMBOLS AND ABBREVIATIONS XVII
INTRODUCTION 1
1. PRELIMINARIES ON HYBRID FINANCIAL AND INSURANCE MARKETS 13
1.1. THE HYBRID MARKET 14
1.1.1. THE BENCHMARK APPROACH 18
1.1.2. QUADRATIC HEDGING APPROACHES 22
1.2. BENCHMARK APPROACH AND QUADRATIC HEDGING FOR INSURANCE 27
2. PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS 31
2.1. UNEMPLOYMENT INSURANCE CONTRACTS 32
2.2. PREMIUMS IN A TIME-HOMOGENEOUS F-DOUBLY STOCHASTIC SETTING 39
2.2.1. THE IP-NUMERAIRE PORTFOLIO AS A LFIVY PROCESS 47
2.2.2. A CLASSICAL MARKOV CHAIN SETTING 49
2.3. PREMIUMS IN A GENERAL F-DOUBLY STOCHASTIC SETTING 52
2.3.1. COX S PROPORTIONAL HAZARDS MODEL AND F-DOUBLY STOCHASTIC MARKOV
CHAINS 54
2.3.2. ESTIMATORS IN COX S PROPORTIONAL HAZARDS MODEL 57
2.3.3. DESCRIPTION OF THE DATASET 58
2.3.4. ESTIMATION RESULTS FOR THE INTENSITY PROCESSES 61
2.3.5. GOODNESS-OF-FIT ANALYSIS 63
2.3.6. SIMULATION RESULTS FOR GENERAL F-DOUBLY STOCHASTIC MARKOV CHAINS
68
3. MEAN-VARIANCE HEDGING FOR MORTALITY CLAIMS WITH LONGEVITY BONDS 73
3.1. THE REDUCED-FORM SETTING 74
3.2. MEAN-VARIANCE HEDGING FOR A SINGLE LIFE STATUS 78
3.3. MEAN-VARIANCE HEDGING FOR LIFE INSURANCE PORTFOLIOS 89
3.4. AFFINE SPECIFICATION OF THE MORTALITY INTENSITY 92
3.5. RISK STUDY FOR LIFE ANNUITIES 98
HTTP://D-NB.INFO/1045640379
XII CONTENTS
4. RISK-MINIMIZATION FOR GENERAL INSURANCE CONTRACTS 107
4.1. GENERAL INSURANCE CONTRACTS 108
4.2. GKW-DECOMPOSITION FOR GENERAL INSURANCE CONTRACTS ILL
4.3. RISK-MINIMIZATION FOR GENERAL INSURANCE CONTRACTS 119
4.4. RISK-MINIMIZATION WITHIN AN AFFINE SPECIFICATION FOR THE
INTENSITIES .... 123
5. CONCLUSION 131
APPENDICES 135
A. F-DOUBLY STOCHASTIC MARKOV CHAINS 136
A.L. REDUCED-FORM MODELS 142
A.2. TIME-HOMOGENEOUS F-DOUBLY STOCHASTIC MARKOV CHAINS 144
B. GALTCHOUK-KUNITA-WATANABE DECOMPOSITIONS 146
REFERENCES 149
|
| any_adam_object | 1 |
| author | Widenmann, Jan Maximilian |
| author_GND | (DE-588)1046633996 |
| author_facet | Widenmann, Jan Maximilian |
| author_role | aut |
| author_sort | Widenmann, Jan Maximilian |
| author_variant | j m w jm jmw |
| building | Verbundindex |
| bvnumber | BV041605162 |
| ctrlnum | (OCoLC)869895086 (DE-599)DNB1045640379 |
| dewey-full | 658.1550159233 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.1550159233 |
| dewey-search | 658.1550159233 |
| dewey-sort | 3658.1550159233 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Soziologie Mathematik Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:00:34Z |
| institution | BVB |
| isbn | 9783954045877 |
| language | English |
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| physical | XVIII, 155 S. |
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| spelling | Widenmann, Jan Maximilian Verfasser (DE-588)1046633996 aut Pricing and hedging insurance products in hybrid markets Jan Maximilian Widenmann 1. Aufl. Göttingen Cuvillier 2013 XVIII, 155 S. txt rdacontent n rdamedia nc rdacarrier Zsfassung in dt. Sprache Zugl.: München, Ludwig-Maximilians-Univ., Diss., 2013 Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Versicherung (DE-588)4063173-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Markov-Kette (DE-588)4037612-6 gnd rswk-swf Versicherungsprämie (DE-588)4063198-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Versicherung (DE-588)4063173-4 s Versicherungsmathematik (DE-588)4063194-1 s Risikomanagement (DE-588)4121590-4 s Versicherungsprämie (DE-588)4063198-9 s Markov-Kette (DE-588)4037612-6 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027046304&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Widenmann, Jan Maximilian Pricing and hedging insurance products in hybrid markets Versicherungsmathematik (DE-588)4063194-1 gnd Versicherung (DE-588)4063173-4 gnd Risikomanagement (DE-588)4121590-4 gnd Markov-Kette (DE-588)4037612-6 gnd Versicherungsprämie (DE-588)4063198-9 gnd |
| subject_GND | (DE-588)4063194-1 (DE-588)4063173-4 (DE-588)4121590-4 (DE-588)4037612-6 (DE-588)4063198-9 (DE-588)4113937-9 |
| title | Pricing and hedging insurance products in hybrid markets |
| title_auth | Pricing and hedging insurance products in hybrid markets |
| title_exact_search | Pricing and hedging insurance products in hybrid markets |
| title_full | Pricing and hedging insurance products in hybrid markets Jan Maximilian Widenmann |
| title_fullStr | Pricing and hedging insurance products in hybrid markets Jan Maximilian Widenmann |
| title_full_unstemmed | Pricing and hedging insurance products in hybrid markets Jan Maximilian Widenmann |
| title_short | Pricing and hedging insurance products in hybrid markets |
| title_sort | pricing and hedging insurance products in hybrid markets |
| topic | Versicherungsmathematik (DE-588)4063194-1 gnd Versicherung (DE-588)4063173-4 gnd Risikomanagement (DE-588)4121590-4 gnd Markov-Kette (DE-588)4037612-6 gnd Versicherungsprämie (DE-588)4063198-9 gnd |
| topic_facet | Versicherungsmathematik Versicherung Risikomanagement Markov-Kette Versicherungsprämie Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027046304&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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