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- Publisher Website: 10.1007/s11464-011-0100-6
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Article: Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
Title | Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model |
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Authors | |
Keywords | Lévy Process Regime Switching Risk-Minimization Unit-Linked Life Insurance |
Issue Date | 2011 |
Publisher | Higher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464 |
Citation | Frontiers Of Mathematics In China, 2011, v. 6 n. 6, p. 1185-1202 How to Cite? |
Abstract | This 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. |
Persistent Identifier | http://hdl.handle.net/10722/172489 |
ISSN | 2023 Impact Factor: 0.8 2020 SCImago Journal Rankings: 0.482 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Qian, L | en_US |
dc.contributor.author | Yang, H | en_US |
dc.contributor.author | Wang, R | en_US |
dc.date.accessioned | 2012-10-30T06:22:46Z | - |
dc.date.available | 2012-10-30T06:22:46Z | - |
dc.date.issued | 2011 | en_US |
dc.identifier.citation | Frontiers Of Mathematics In China, 2011, v. 6 n. 6, p. 1185-1202 | en_US |
dc.identifier.issn | 1673-3452 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172489 | - |
dc.description.abstract | This 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. | en_US |
dc.language | eng | en_US |
dc.publisher | Higher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464 | - |
dc.relation.ispartof | Frontiers of Mathematics in China | en_US |
dc.rights | The original publication is available at www.springerlink.com | - |
dc.subject | Lévy Process | en_US |
dc.subject | Regime Switching | en_US |
dc.subject | Risk-Minimization | en_US |
dc.subject | Unit-Linked Life Insurance | en_US |
dc.title | Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1007/s11464-011-0100-6 | en_US |
dc.identifier.scopus | eid_2-s2.0-82655177099 | en_US |
dc.identifier.hkuros | 202429 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-82655177099&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 6 | en_US |
dc.identifier.issue | 6 | en_US |
dc.identifier.spage | 1185 | en_US |
dc.identifier.epage | 1202 | en_US |
dc.identifier.isi | WOS:000297647000010 | - |
dc.publisher.place | China | en_US |
dc.identifier.scopusauthorid | Qian, L=35763314800 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.scopusauthorid | Wang, R=7405334582 | en_US |
dc.identifier.citeulike | 8788237 | - |
dc.identifier.issnl | 1673-3452 | - |