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 …

This paper discusses the problem of hedging not perfectly replicable contingent claims
using the numéraire portfolio. The proposed concept of benchmarked risk minimization …

This paper proposes a shift in the valuation and production of long-term annuities, away
from the classical risk-neutral methodology towards a methodology using the real-world …

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 …

In this paper we show how to hedge a zero coupon bond with a smaller amount of initial
capital than required by the classical risk neutral paradigm, whose (trivial) hedging strategy …

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 …

In this dissertation we consider the problem of pricing and hedging insurance liabilities, by
extending concepts and methodologies recently introduced in the mathematical literature for …

This paper proposes a paradigm shift in the valuation of long term annuities, away from
classical no-arbitrage valuation towards valuation under the real world probability measure …

This paper provides a new approach for modeling and calculating premiums for
unemployment insurance products. The innovative modeling concept consists of combining …