2 papers
q-fin.MF2025
Insurance products with guarantees in an affine setting
Raquel M. Gaspar, Thorsten Schmidt
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must b…
q-fin.MF2025
Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
Michael Schmutz, Eckhard Platen, Thorsten Schmidt
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the bench…