46 citations · 69 across the 11 of their papers we have counts for
3 papers · 1 filter
Credit risk premia and quadratic BSDEs with a single jump
Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility pr…
Pricing and hedging of derivatives based on non-tradable underlyings
Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We…
Optimal cross hedging for insurance derivatives
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is corre…