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Article: Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model

TitleLocally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
Authors
Qian, LYang, HWang, R
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
Citation
Frontiers 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.
Persistent Identifierhttp://hdl.handle.net/10722/172489
ISSN
1673-3452
2021 Impact Factor: 0.871
2020 SCImago Journal Rankings: 0.482
ISI Accession Number ID
WOS:000297647000010
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorQian, Len_US
dc.contributor.authorYang, Hen_US
dc.contributor.authorWang, Ren_US
dc.date.accessioned2012-10-30T06:22:46Z-
dc.date.available2012-10-30T06:22:46Z-
dc.date.issued2011en_US
dc.identifier.citationFrontiers Of Mathematics In China, 2011, v. 6 n. 6, p. 1185-1202en_US
dc.identifier.issn1673-3452en_US
dc.identifier.urihttp://hdl.handle.net/10722/172489-
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.en_US
dc.languageengen_US
dc.publisherHigher Education Press and Springer-Verlag GmbH. The Journal's web site is located at http://www.springer.com/math/journal/11464-
dc.relation.ispartofFrontiers of Mathematics in Chinaen_US
dc.rightsThe original publication is available at www.springerlink.com-
dc.subjectLévy Processen_US
dc.subjectRegime Switchingen_US
dc.subjectRisk-Minimizationen_US
dc.subjectUnit-Linked Life Insuranceen_US
dc.titleLocally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy modelen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1007/s11464-011-0100-6en_US
dc.identifier.scopuseid_2-s2.0-82655177099en_US
dc.identifier.hkuros202429-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-82655177099&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume6en_US
dc.identifier.issue6en_US
dc.identifier.spage1185en_US
dc.identifier.epage1202en_US
dc.identifier.isiWOS:000297647000010-
dc.publisher.placeChinaen_US
dc.identifier.scopusauthoridQian, L=35763314800en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US
dc.identifier.scopusauthoridWang, R=7405334582en_US
dc.identifier.citeulike8788237-
dc.identifier.issnl1673-3452-

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