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Quadratic hedging of equity-linked life insurance contracts

What is it about?

We consider the quadratic hedging problem in the framework of discrete time financial market. Pricing and hedging algorithms are implemented by means of finding a P-discounting portfolio (a numeraire) such that discounted price processes are martingales under the physical measure P. The applications in pricing and hedging of equity-linked life insurance contracts are demonstrated.

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Anna Glazyrina
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