Unit-linked life insurance in Lévy-process financial markets [Elektronische Ressource] : modeling, hedging and statistics / vorgelegt von Martin Riesner

ECOD·ODNEICS·MLUTÄTUniversitat Ulm¨Abteilung Zahlentheorie und WahrscheinlichkeitstheorieUnit-linked life insurance inL´evy-process financial marketsModeling, Hedging and StatisticsDissertationzur Erlangung des DoktorgradesDr. rer. nat.der Fakultat fur Mathematik und Wirtschaftswissenschaften¨ ¨der Universita¨t Ulmvorgelegt vonDipl.-Math. oec. Martin Riesner, M.S.ausSchorndorfUlm, im Juli 2006ISREVINU·ODNARUC·ODNiiAmtierender Dekan: Professor Dr. Ulrich Stadtmu¨ller1. Gutachter: Professor Dr. Ulrich Stadtmu¨ller, Universit¨at Ulm2. Gutachter: Professor Dr. Ru¨diger Kiesel, Universit¨at Ulm3. Gutachter: Professor Dr. Ralf Korn, Universitat Kaiserslautern¨Tag der Promotion: 13.10.2006PrefaceBringing together the L´evy-process financial world and the theory of unit-linked life insurance contracts, this thesis shall contribute to the ongoingresearch on the interface between financial and actuarial mathematics. Itconcludes my doctorate research which was carried out at the Departmentof Number Theory and Probability Theory at the University of Ulm inthe period from October 2003 to July 2006. My work was supervised byProfessors Ulrich Stadtmu¨ller and Ru¨diger Kiesel, both University of Ulm.AcknowledgementsFirst of all, I would like to express my deepest gratitude to Professor UlrichStadtmu¨ller for being an excellent supervisor and teacher.