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Title: Locally Risk-Minimizing Hedging of Insurance Payment Streams
Author(s): RIESNER, Martin
Journal: ASTIN Bulletin
Volume: 37    Issue: 1   Date: May 2007   
Pages: 67-92
DOI: 10.2143/AST.37.1.2020799

Abstract :
For the martingale case Föllmer and Sondermann (1986) introduced a unique admissible risk-minimizing hedging strategy for any square-integrable contingent claim H. Schweizer (1991) developed their theory further to the semimartingale case introducing the notion of local risk-minimization. Møller (2001) extended the theory of Föllmer and Sondermann (1986) to hedge general payment processes occurring mainly in insurance. We expand local risk-minimization to the theory of hedging general payment processes and derive such a hedging strategy for general unit-linked life insurance contracts in a general Lévy process financial market.