TY  - JOUR
TI  - <p class="text">Pricing of Flexible Insurance Schemes</p>
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - insurance
KW  - applied mathematics
KW  - insurance program
KW  - the method of dynamic hedging
AB  - In the work, which is at the junction of financial and actuarial mathematics, we study methods of quantitative calculations of premiums and reserves for flexible insurance schemes (equity-linked insurance schemes). The necessary information and description of the main approaches (actuarial reserve, static and dynamic hedging) to the calculation of such innovative schemes are given. Particular attention is paid to the most important method - the method of dynamic hedging, which is analyzed in detail both for the most studied case of full markets (black-Scholes model) and for the case of incomplete markets (generalized Bachelier model with stochastic volatility).
AU  - Aleksandr Mel'nikov
AU  - M. Moliboga
UR  - https://ej.hse.ru/en/2003-7-2/26548728.html
PY  - 2003
SP  - 139-172
VL  - 7