HEDGING STRATEGY FOR UNIT-LINKED LIFE INSURANCE CONTRACTS WITH SELF-EXCITING JUMP CLUSTERING

被引：1

作者：

Wang, Wei ^{[1
]}

Shen, Yang ^{[2
,3
]}

Qian, Linyi ^{[4
]}

Yang, Zhixin ^{[5
]}

机构：

[1] Ningbo Univ, Sch Math & Stat, 818 Fenghua Rd, Ningbo 315211, Peoples R China

[2] Univ New South Wales, Sch Risk & Actuarial Studies, Sydney, NSW 2052, Australia

[3] Univ New South Wales, CEPAR, Sydney, NSW 2052, Australia

[4] East China Normal Univ, Sch Stat, MOE, Key Lab Adv Theory & Applicat Stat & Data Sci, Shanghai 200241, Peoples R China

[5] Ball State Univ, Dept Math Sci, Muncie, IN 47304 USA

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2022年 / 18卷 / 04期

基金：

中国国家自然科学基金; 澳大利亚研究理事会;

关键词：

  Local risk-minimization; unit-linked life insurance; Hawkes process; hedging strategy; minimal martingale measure; SPECTRA;

D O I：

10.3934/jimo.2021072

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper studies the hedging problem of unit-linked life insurance contracts in an incomplete market presence of self-exciting (clustering) effect, which is described by a Hawkes process. Applying the local risk minimization method, we manage to obtain closed-form expressions of the locally risk-minimizing hedging strategies for both pure endowment and term insurance contracts. Besides, we demonstrate the existence of the minimal martingale measure and perform numerical analyses. Our numerical results indicate that jump clustering has a significant impact on the optimal hedging strategies.

引用

页码：2369 / 2399

页数：31

共 31 条

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