کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9552840 1374152 2005 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
چکیده انگلیسی
In this article the method of pricing the liabilities of a financial institution by means of dynamic mean-variance hedging is applied to the situation of an incomplete market that is nevertheless in equilibrium with homogeneous expectations. For a given stochastic asset-liability model that is consistent with the market, the article shows how to determine the price at which, subject to specified provisos, a prospective transferor or transferee would be indifferent to the transfer of the liabilities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 3, 24 June 2005, Pages 441-455
نویسندگان
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