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A bivariate shot noise self-exciting process for insurance

✍ Scribed by Jang, Jiwook; Dassios, Angelos


Book ID
122976280
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
440 KB
Volume
53
Category
Article
ISSN
0167-6687

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## Abstract We consider the risk‐minimizing hedging problem for unit‐linked life insurance in a financial market driven by a shot‐noise process. Because the financial market is incomplete, the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the in