Risk-minimizing Hedging Strategy for an Equity-indexed Annuity under a Regime Switching Model

被引：1
|
作者：
Lin-yi QIAN [1 ]
Wei WANG [2 ]
Rong-ming WANG [1 ]
机构：
[1] School of Finance and Statistics, East China Normal University
[2] Department of Mathematic, The University of Ningbo
来源：
Acta Mathematicae Applicatae Sinica | 2015年 / 31卷 / 01期
基金：
中国国家自然科学基金;
关键词：
equity-indexed annuity; regime switching; risk-minimization;
D O I：
暂无
中图分类号：
F831.51 [];
学科分类号：
020202 ;
摘要：
The equity-indexed annuity(EIA) contract offers a proportional participation in the performance of a specified equity index, in addition to a guaranteed return on the single premium. How to manage the risk of the EIA is an important issue. This paper considers the hedging of the EIA. We assume that the parameters of the financial model depend on a continuous-time finite-state Markov chain and the Markov chain is observed,that is the Markov regime switching model. The state of the Markov chain can be interpreted as the state of an economy. Under the regime switching model, we obtain the risk-minimizing hedging strategy for the EIA.
引用
收藏
页码：101 / 110
页数：10
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