EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS

The paper deals with efficient hedging problem for defaultable securities with multiple default times and nonzero recovery rates. First, we convert the efficient hedging problem into a Neyman–Pearson problem with composite hypothesis against a simple alternative. Then we apply nonsmooth convex duali...

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Veröffentlicht in:	International journal of theoretical and applied finance 2015-11, Vol.18 (7), p.1550047
Hauptverfasser:	MELNIKOV, ALEXANDER, NOSRATI, AMIR
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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