RISK-MINIMIZING PORTFOLIO SELECTION FOR INSURANCE PAYMENT PROCESSES UNDER A MARKOV-MODULATED MODEL

被引：0

作者：

Qian, Linyi ^{[1
]}

Wang, Wei ^{[2
]}

Wang, Rongming ^{[3
]}

机构：

[1] E China Normal Univ, Res Ctr Int Finance & Risk Management, Shanghai 200241, Peoples R China

[2] Ningbo Univ, Dept Math, Ningbo 315211, Zhejiang, Peoples R China

[3] E China Normal Univ, Sch Finance & Stat, Shanghai 200241, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2013年 / 9卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Unit-linked life insurance; Levy process; regime switching; locally risk-minimizing strategy; CONTRACTS; DRIVEN;

D O I：

10.3934/jimo.2013.9.411

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper extends the model in Riesner (2007) to a Markov modulated Levy process. The parameters of the Levy process switch over time according to the different states of an economy, which is described by a finite-state continuous time Markov chain. Employing the local risk minimization method, we find an optimal hedging strategy for a general payment process. Finally, we give an example for single unit-linked insurance contracts with guarantee to display the specific locally risk-minimizing hedging strategy.

引用

页码：411 / 429

页数：19

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