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Article: Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
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TitleLocally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
 
AuthorsQian, L3
Yang, H2
Wang, R1 3
 
KeywordsLévy Process
Regime Switching
Risk-Minimization
Unit-Linked Life Insurance
 
Issue Date2011
 
PublisherHigher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464
 
CitationFrontiers Of Mathematics In China, 2011, v. 6 n. 6, p. 1185-1202 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s11464-011-0100-6
 
AbstractThis paper extends the model and analysis in that of Vandaele and Vanmaele [Insurance: Mathematics and Economics, 2008, 42: 1128-1137]. We assume that parameters of the Lévy process which models the dynamic of risky asset in the financial market depend on a finite state Markov chain. The state of the Markov chain can be interpreted as the state of the economy. Under the regime switching Lévy model, we obtain the locally risk-minimizing hedging strategies for some unit-linked life insurance products, including both the pure endowment policy and the term insurance contract. © 2011 Higher Education Press and Springer-Verlag Berlin Heidelberg.
 
ISSN1673-3452
2013 Impact Factor: 0.452
 
DOIhttp://dx.doi.org/10.1007/s11464-011-0100-6
 
ReferencesReferences in Scopus
 
DC FieldValue
dc.contributor.authorQian, L
 
dc.contributor.authorYang, H
 
dc.contributor.authorWang, R
 
dc.date.accessioned2012-10-30T06:22:46Z
 
dc.date.available2012-10-30T06:22:46Z
 
dc.date.issued2011
 
dc.description.abstractThis paper extends the model and analysis in that of Vandaele and Vanmaele [Insurance: Mathematics and Economics, 2008, 42: 1128-1137]. We assume that parameters of the Lévy process which models the dynamic of risky asset in the financial market depend on a finite state Markov chain. The state of the Markov chain can be interpreted as the state of the economy. Under the regime switching Lévy model, we obtain the locally risk-minimizing hedging strategies for some unit-linked life insurance products, including both the pure endowment policy and the term insurance contract. © 2011 Higher Education Press and Springer-Verlag Berlin Heidelberg.
 
dc.description.naturelink_to_subscribed_fulltext
 
dc.identifier.citationFrontiers Of Mathematics In China, 2011, v. 6 n. 6, p. 1185-1202 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s11464-011-0100-6
 
dc.identifier.citeulike8788237
 
dc.identifier.doihttp://dx.doi.org/10.1007/s11464-011-0100-6
 
dc.identifier.epage1202
 
dc.identifier.hkuros202429
 
dc.identifier.issn1673-3452
2013 Impact Factor: 0.452
 
dc.identifier.issue6
 
dc.identifier.scopuseid_2-s2.0-82655177099
 
dc.identifier.spage1185
 
dc.identifier.urihttp://hdl.handle.net/10722/172489
 
dc.identifier.volume6
 
dc.languageeng
 
dc.publisherHigher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464
 
dc.publisher.placeChina
 
dc.relation.ispartofFrontiers of Mathematics in China
 
dc.relation.referencesReferences in Scopus
 
dc.rightsThe original publication is available at www.springerlink.com
 
dc.subjectLévy Process
 
dc.subjectRegime Switching
 
dc.subjectRisk-Minimization
 
dc.subjectUnit-Linked Life Insurance
 
dc.titleLocally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
 
dc.typeArticle
 
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Author Affiliations
  1. Shandong University
  2. The University of Hong Kong
  3. East China Normal University