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Selected Topics in Valuation of Financial and Insurance Contracts
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- Author / Creator
- Glazyrina, Anna
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In this thesis, selected topics on valuation and hedging of financial and insurance contracts are studied. First of all, we study the most common in mathematical finance Black-Scholes market and provide an alternative derivation of the famous Black-Scholes formula from the binomial option pricing model.
Secondly, we develop a method for pricing and hedging the equity-linked life insurance contracts without switching to a new probability measure, using quadratic risk-minimization criterion. Thirdly, we consider a quantile hedging problem for the Black-Scholes and jump-diffusion markets and extend existing results in this subarea by introducing dividends. Application to pricing and hedging the equity-linked life insurance contracts is demonstrated. Fourthly, we study a market with defaultable securities and develop a quantile hedging methodology for this market, providing insurance applications. Finally, we revisit the Bachelier model – the first model of the financial market in mathematical finance history. We study the modification of the classical Bachelier model by absorbing the stock price at zero and give alternative proofs for the option pricing formulas on this market. Using these results, we develop a quantile hedging methodology and provide insurance applications for both classical and modified Bachelier markets. -
- Subjects / Keywords
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- Quantile hedging
- Bachelier market
- Jump-diffusion
- Black-Scholes
- Pure endowment with fixed guarantee life insurance contract
- Cox-Ross-Rubinstein
- Equity-linked life insurance contracts
- Dividends
- Call option
- Defaultable market
- Bachelier model with stopping time
- Quadratic hedging
- Bernstein's inequalities
- Absorbing barrier
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- Graduation date
- Fall 2019
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- Type of Item
- Thesis
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- Degree
- Doctor of Philosophy
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- License
- Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.