Hedging life insurance contracts in a Levy process financial market

被引：28
|
作者：
Riesner, Martin [1 ]
机构：
[1] Univ Ulm, Abt Zahlentheorie & Wahrscheinlichkeitstheorie, D-89069 Ulm, Germany
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2006年 / 38卷 / 03期
关键词：
unit-linked life insurance; Levy process; incomplete market; risk-minimization; Martingale representation; Kunita-Watanabe;
D O I：
10.1016/j.insmatheco.2005.12.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Starting from the model of Moller [Risk-minimizing hedging strategies for unit-linked life insurance contracts. ASTIN Bulletin 28 (1998) 17-47] we derive analogously, but for an incomplete financial market, a (locally) risk-minimizing hedging strategy for unit-linked life insurance contracts represented by the pure endowment and the term insurance. The incomplete financial market is exemplarily given by a general Levy-driven model. We investigate the Follmer-Schweizer decomposition of their intrinsic value. Additionally, we compare our results to the ones obtained by Moller [Risk-minimizing hedging strategies for unit-linked life insurance contracts. ASTIN Bulletin 28 (1998) 17-47] and show how they are affected by replacing the complete financial market by an incomplete one. (c) 2006 Elsevier B.V All rights reserved.
引用
收藏
页码：599 / 608
页数：10
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