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雷达卡
英文标题：
《Hedging of unit-linked life insurance contracts with unobservable
mortality hazard rate via local risk-minimization》
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作者：
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
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最新提交年份：
2014
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英文摘要：
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of insured individuals but not the mortality hazard rate. We consider a financial market driven by a general semimartingale and we aim to hedge unit-linked life insurance contracts via the local risk-minimization approach under partial information. The F\\\"ollmer-Schweizer decomposition of the insurance claim and explicit formulas for the optimal strategy for pure endowment and term insurance contracts are provided in terms of the projection of the survival process on the information flow. Moreover, in a Markovian framework, we reduce to solve a filtering problem with point process observations.
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中文摘要：
在本文中，我们研究了一个组合金融保险模型的局部风险最小化方法，该模型对保险公司可用的信息有限制。特别是，我们假设，在任何时候，保险公司都可以观察特定被保险人组合的死亡人数，但不观察死亡风险率。在半鞅方法下，我们考虑了局部人寿保险的风险最小化。根据生存过程在信息流上的投影，给出了保险索赔的F \\“ollmer-Schweizer分解，以及纯养老保险和定期保险合同最优策略的显式公式。此外，在马尔可夫框架下，我们用点过程观测来解滤问题。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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