Abstract
In this paper, we determine optimal trading strategies associated with the financial variance and standard deviation principles proposed by Schweizer [2001. Insurance: Mathematics and Economics 28, 31–47]. These principles take into consideration the possibilities of hedging on the financial market and are derived by an indifference argument, which embeds the traditional (actuarial) variance and standard deviation principles in a financial framework. We also investigate an alternative way of transforming actuarial principles and show that for the standard deviation principle this leads to the financial standard deviation principle. The principles are applied for the valuation and hedging of unit-linked life insurance contracts.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
