The paper is devoted to quantile hedging in a market with defaultable securities. Both perfect and quantile hedging strategies are given for a European call option on a vulnerable equity. Application of quantile methodology to pricing the equity-linked life insurance contracts is demonstrated. A numerical example is provided to illustrate the effect of a default on the option price, on the probability of successful hedging, and on the insurance-related variables.

中文翻译：

---

通过人寿保险申请在可违约市场中进行分位数对冲

该论文致力于在具有可违约证券的市场中进行分位数对冲。针对弱势股票的欧洲看涨期权给出了完善和分位数的对冲策略。演示了分位数方法在与股票挂钩的人寿保险合同定价中的应用。提供了一个数值示例来说明违约对期权价格，成功对冲的可能性以及与保险有关的变量的影响。