Hedging unit-linked life insurance contracts in a financial market driven by shot-noise processes

被引：3
|
作者：
Bi, Junna [1 ]
Otto, Junyi [1 ]
机构：
[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2010年 / 26卷 / 05期
基金：
中国国家自然科学基金;
关键词：
unit-linked life insurance; incomplete market; shot-noise process; locally risk-minimization;
D O I：
10.1002/asmb.807
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We consider the risk-minimizing hedging problem for unit-linked life insurance in a financial market driven by a shot-noise process. Because the financial market is incomplete, the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the insurer. The theory of ((pseudo) locally) risk-minimization is applied after a change of measure. Then the risk-minimizing trading strategies and the associated intrinsic risk processes are determined for two types of unit-linked contracts represented by the pure endowment and the term insurance. Copyright (C) 2009 John Wiley & Sons, Ltd.
引用
收藏
页码：609 / 623
页数：15
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