TY - JOUR
T1 - Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
AU - Qian, Linyi
AU - Yang, Hailiang
AU - Wang, Rongming
PY - 2011/12
Y1 - 2011/12
N2 - 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.
AB - 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.
KW - Lévy process
KW - Unit-linked life insurance
KW - regime switching
KW - risk-minimization
UR - http://www.scopus.com/inward/record.url?scp=82655177099&partnerID=8YFLogxK
U2 - 10.1007/s11464-011-0100-6
DO - 10.1007/s11464-011-0100-6
M3 - Article
AN - SCOPUS:82655177099
SN - 1673-3452
VL - 6
SP - 1185
EP - 1202
JO - Frontiers of Mathematics in China
JF - Frontiers of Mathematics in China
IS - 6
ER -