4 research outputs found
A note on Wiener-Hopf factorization for Markov Additive processes
We prove the Wiener-Hopf factorization for Markov Additive processes. We
derive also Spitzer-Rogozin theorem for this class of processes which serves
for obtaining Kendall's formula and Fristedt representation of the cumulant
matrix of the ladder epoch process. Finally, we also obtain the so-called
ballot theorem
Quantile hedging for equity-linked contracts
We consider an equity-linked contract whose payoff depends on the lifetime of the policy holder and the stock price. We provide the best strategy for an insurance company assuming limited capital for the hedging. The main idea of the proof consists in reducing the construction of such strategies for a given claim to a problem of superhedging for a modified claim, which is the solution to a static optimization problem of the Neyman-Pearson type. This modified claim is given via some sets constructed in an iterative way. Some numerical examples are also given.Quantile hedging Equity-linked contract