Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market

<table>Optimal return <svg height="11.7125" id="M498" style="vertical-align:-0.0pt" version="1.1" viewbox="0 0 17.75 11.7125" width="17.75" xmlns="http://www.w3.org/2000/svg">
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<tspan style="font-size: 12.50px; " x="0" y="0">Δ</tspan>
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<tspan style="font-size: 8.75px; " x="0" y="0">∗</tspan>
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</svg> versus the return value <svg height="15.8125" id="M499" style="vertical-align:-0.0pt" version="1.1" viewbox="0 0 11.4125 15.8125" width="11.4125" xmlns="http://www.w3.org/2000/svg">
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<g transform="translate(72,-59.35)">
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<path d="m -71.95,70.71 9.03,0" style="fill:none;stroke:#000000;stroke-width:0.82499999;stroke-linecap:butt;stroke-linejoin:miter;stroke-miterlimit:10;stroke-opacity:1;stroke-dasharray:none"></path>
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<text transform="matrix(1,0,0,-1,-71.95,59.4)">
<tspan style="font-size: 12.50px; " x="0" y="0">Δ</tspan>
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</svg> associated with the optimal risk for all cases.</table>

Journal of Probability and Statistics

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Figure 3

Figure 3: Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market 