Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

DOI10.1016/J.INSMATHECO.2014.10.013zbMATH Open1308.91077arXiv1406.6902OpenAlexW2001322134MaRDI QIDQ2260945FDOQ2260945

Authors: Claudia Ceci, Katia Colaneri, Alessandra Cretarola 

Publication date: 13 March 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of insured individuals but not the mortality hazard rate. We consider a financial market driven by a general semimartingale and we aim to hedge unit-linked life insurance contracts via the local risk-minimization approach under partial information. The F"ollmer-Schweizer decomposition of the insurance claim and explicit formulas for the optimal strategy for pure endowment and term insurance contracts are provided in terms of the projection of the survival process on the information flow. Moreover, in a Markovian framework, we reduce to solve a filtering problem with point process observations.

Full work available at URL: https://arxiv.org/abs/1406.6902

Recommendations

• Unit-linked life insurance policies: optimal hedging in partially observable market models
• scientific article; zbMATH DE number 2185942
• A benchmark approach to risk-minimization under partial information
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Risk-minimization for life insurance liabilities

zbMATH Keywords

filteringpartial informationMarkovian modelsminimal martingale measurelocal risk-minimizationunit-linked life insurance contractsFöllmer-Schweizer decomposition

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on general state spaces (60J25)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Arbitrage Theory in Continuous Time
• Approximating random variables by stochastic integrals
• Hedging life insurance contracts in a Lévy process financial market
• A guided tour through quadratic hedging approaches
• Nonlinear filtering for jump diffusion observations
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Local risk minimization for defaultable markets
• Title not available (Why is that?)
• Title not available (Why is that?)
• Risk-minimizing hedging strategies for insurance payment processes
• Title not available (Why is that?)
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Title not available (Why is that?)
• No Arbitrage and General Semimartingales
• Nonlinear filtering equations for stochastic processes with jumps
• Unique characterization of conditional distributions in nonlinear filtering
• Filtering of a Markov jump process with counting observations
• On the unnormalized solution of the filtering problem with counting process observations
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• BSDEs under partial information and financial applications
• GKW representation theorem under restricted information. An application to risk-minimization
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• The Föllmer-Schweizer decomposition: comparison and description
• BENCHMARKED RISK MINIMIZATION
• Nonlinear filtering equation of a jump process with counting observations
• A benchmark approach to risk-minimization under partial information
• Local risk-minimization under restricted information on asset prices
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Filtering of a branching process given its split times
• Local risk-minimization under the benchmark approach
• Local risk-minimization under Markov-modulated exponential Lévy model

Cited In (12)

• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Indifference pricing of pure endowments via BSDEs under partial information
• Title not available (Why is that?)
• Value adjustments and dynamic hedging of reinsurance counterparty risk
• A benchmark approach to risk-minimization under partial information
• Pricing guaranteed annuity options in a linear-rational Wishart mortality model
• Optimal investment and consumption strategies for pooled annuity with partial information
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts

This page was built for publication: Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2260945)