A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …

This paper introduces a flexible risk decomposition method for life insurance contracts
embedding several risk factors. Hedging can be naturally embedded in the framework …

One of the earliest concepts for hedging and pricing in incomplete financial markets has
been the quadratic criterion of local risk-minimization. However, definitions and theory have …

Pricing and hedging life insurance contracts with minimum guarantees are major areas of
concern for insurers and researchers. In this article, we propose a unified framework for …

This paper proposes two main contributions concerning the Föllmer–Schweizer
decomposition (called hereafter the FS-decomposition). First we completely elaborate the …

The past few decades have witnessed the successful application of neural networks in many
areas such as image processing, pattern recognition, associative memory, and optimization …

In this paper we investigate the hedging problem of a unit-linked life insurance contract via
the local risk-minimization approach, when the insurer has a restricted information on the …

In this paper, we aim to obtain explicit representations of locally risk-minimizing by using
Malliavin calculus for Lévy processes. For incomplete market models whose asset price is …

In this paper we investigate the local risk-minimization approach for a combined financial-
insurance model where there are restrictions on the information available to the insurance …

The goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the
benchmark approach in a financial semimartingale market model where there are …