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Applied stochastic models and control for finance and insurance — NYU Scholars

Basis risk arises in a number of financial and insurance risk management problems when the hedging assets do not perfectly match the underlying asset in a hedging program. Notable examples in insurance include the hedging for longevity risks, weather index—based insurance products, variable annuities, etc. The solutions are obtained by a delicate application of the linear quadratic control theory, the method of backward stochastic differential equation, and Malliavin calculus.


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A numerical example is presented to illustrate our theoretical results and their interesting implications. Volume 35 , Issue 3. The full text of this article hosted at iucr. If you do not receive an email within 10 minutes, your email address may not be registered, and you may need to create a new Wiley Online Library account.

Stochastic analysis, finance, insurance and risk

If the address matches an existing account you will receive an email with instructions to retrieve your username. Chengguo Weng Corresponding Author E-mail address: c2weng uwaterloo.

Present Address:. Particular interest will be given to interesting applications in engineering, productions and services maintenance, reliability, planning and control, quality control, finance, insurance, management and administration, inventory and logistics, marketing, environment, human resources, biotechnology, medicine.

Mean‐variance hedging with basis risk

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