Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee

DOI10.1016/J.INSMATHECO.2010.10.011MaRDI QIDQ2276216zbMATH OpenOpenAlexFDO

Authors Oberlain Nteukam Teuguia, Frédéric Planchet, Pierre-E. Thérond

Publication date 1 August 2011

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.10.011

zbMATH Keywords

hedging strategiesunit-linkedrisk indicatorsstress-testingdeath guaranteetransaction and error of re-hedging costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
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• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts

Cites work

• Asymptotic analysis of hedging errors in models with jumps
• Empirical properties of asset returns: stylized facts and statistical issues
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities

Cited in

(9)

• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• Optimal hedging strategies in equity-linked products
• Variable annuity pricing, valuation, and risk management: a survey
• Hedging of guaranteed maturity benefits in unit-linked life insurance
• Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
• Quantile hedging for guaranteed minimum death benefits
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
• A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies

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