In reality, markets are incomplete, meaning that some payoffs cannot be replicated by
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …

We review the main results in the theory of quadratic hedging in a general incomplete model
of continuous trading with semimartingale price process. The objective is to hedge …

Suppose discounted asset prices in a financial market are given by a P-semimartingale of
the form S= S0+ M+ A. The minimal martingale measure for S is characterised by the …

In this paper we study the pricing and hedging problem of a portfolio of life insurance
products under the benchmark approach, where the reference market is modelled as driven …

We study the local risk minimization approach for defaultable markets in a general setting
where the asset price dynamics and the default time may influence each other. We find the …

We apply the local risk-minimization approach to defaultable claims and we compare it with
intensity-based evaluation formulas and the mean-variance hedging. We solve analytically …

We develop a theory of local risk minimization for payment processes in discrete time, and
apply this theory to the pricing and hedging of equity-linked life-insurance contracts. Thus …

We study the pricing and hedging of derivatives in incomplete financial markets by
considering the local risk-minimization method in the context of the benchmark approach …

Quadratic hedging is a specific form of utility hedging, where the strategy minimizes the
hedging error in mean square sense. Hence risk is in this case quantified as variance. One …

A current issue in the theory and practice of insurance and reinsurance markets is to find
alternative ways of securitizing risks. Insurance companies have the possibility of investing …